An analytical approximation for single barrier options under stochastic volatility models
type: Item
instance of: scholarly article
title: An analytical approximation for single barrier options under stochastic volatility models
zbMATH Open document ID: 1417.91499
author: Hideharu Funahashi
author: Tomohide Higuchi
published in: Annals of Operations Research
publication date: 2018-11-12T00:00:00Z
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 6976237
zbMATH Keywords: single barrier option
zbMATH Keywords: analytical approximation
zbMATH Keywords: local and stochastic volatility models
zbMATH Keywords: Wiener-Itô chaos expansion
MaRDI profile type: Publication
full work available at URL: s10479-017-2559-3
OpenAlex ID: W2732623571
cites work: On a symmetrization of diffusion processes
cites work: The pricing of options and corporate liabilities
cites work: PUT‐CALL SYMMETRY: EXTENSIONS AND APPLICATIONS
cites work: The evaluation of barrier option prices under stochastic volatility
cites work: Adaptive Monte Carlo Algorithms for Stopped Diffusion
cites work: Using equity options to imply credit information
cites work: A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
cites work: A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model
cites work: A chaos expansion approach under hybrid volatility models
cites work: Analytical pricing of single barrier options under local volatility models
cites work: Does the Hurst index matter for option prices under fractional volatility?
cites work: Weak approximation of killed diffusion using Euler schemes.
cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
cites work: A fourth-order smoothing scheme for pricing barrier options under stochastic volatility
DOI: 10.1007/S10479-017-2559-3
Recommended article: Analytical pricing of single barrier options under local volatility models
Recommended article: The evaluation of barrier option prices under stochastic volatility
Recommended article: An analytical approximation method for pricing barrier options under the double Heston model
Recommended article: Pricing barrier options under stochastic volatility framework
Recommended article: An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model
Recommended article: Pricing external barrier options under a stochastic volatility model
Recommended article: AN APPROXIMATION METHOD FOR PRICING CONTINUOUS BARRIER OPTIONS UNDER MULTI-ASSET LOCAL STOCHASTIC VOLATILITY MODELS
Recommended article: Pricing discrete barrier options under stochastic volatility
Recommended article: Robust static hedging of barrier options in stochastic volatility models
Recommended article: Barrier option pricing under the 2-hypergeometric stochastic volatility model
description: scientific article; zbMATH DE number 6976237