Pricing external barrier options under a stochastic volatility model
type: Item
instance of: scholarly article
title: Pricing external barrier options under a stochastic volatility model
zbMATH Open document ID: 1466.91342
author: Yanyan Li
published in: Journal of Computational and Applied Mathematics
publication date: 2021-06-03T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 44A10
zbMATH DE Number: 7354674
zbMATH Keywords: external barrier option
zbMATH Keywords: stochastic volatility
zbMATH Keywords: asymptotic analysis
zbMATH Keywords: double Mellin transform
MaRDI profile type: Publication
full work available at URL: j.cam.2021.113555
OpenAlex ID: W3137496709
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DOI: 10.1016/J.CAM.2021.113555
description: scientific article; zbMATH DE number 7354674