Pricing of timer volatility-barrier options under Heston's stochastic volatility model
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Publication:6653561
DOI10.1016/J.CAM.2024.116310MaRDI QIDQ6653561
Dong-Hyun Kim, Mijin Ha, Ji-Hun Yoon
Publication date: 16 December 2024
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
method of imagesvolatility derivativesHeston's stochastic volatilitytimer optionstimer volatility double barrier optionsvolatility-barrier options
Stochastic analysis (60Hxx) Mathematical economics (91Bxx) Actuarial science and mathematical finance (91Gxx)
Cites Work
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- Valuing of timer path-dependent options
- Multifactor Heston's stochastic volatility model for European option pricing
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