Pricing of timer volatility-barrier options under Heston's stochastic volatility model

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)

zbMATH Keywords

method of imagesvolatility derivativesHeston's stochastic volatilitytimer optionstimer volatility double barrier optionsvolatility-barrier options

Mathematics Subject Classification ID

Stochastic analysis (60Hxx) Mathematical economics (91Bxx) Actuarial science and mathematical finance (91Gxx)

Cites Work

• Title not available (Why is that?)
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• Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model
• The Heston model with stochastic elasticity of variance
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing under hybrid stochastic and local volatility
• Valuing of timer path-dependent options
• Multifactor Heston's stochastic volatility model for European option pricing

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