An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model
type: Item
instance of: scholarly article
title: An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model
zbMATH Open document ID: 1354.91151
author: Junkee Jeon
author: Ji-Hun Yoon
author: Chang-Rae Park
published in: Journal of Mathematical Analysis and Applications
publication date: 2017-01-17T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 44A15
zbMATH DE Number: 6675587
zbMATH Keywords: double-barrier option
zbMATH Keywords: stochastic volatility
zbMATH Keywords: asymptotic analysis
zbMATH Keywords: Mellin transform method
MaRDI profile type: Publication
full work available at URL: j.jmaa.2016.11.061
OpenAlex ID: W2560607161
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DOI: 10.1016/J.JMAA.2016.11.061
description: scientific article; zbMATH DE number 6675587