Pricing of timer volatility-barrier options under Heston's stochastic volatility model
type: Item
instance of: scholarly article
title: Pricing of timer volatility-barrier options under Heston's stochastic volatility model
author: Mijin Ha
author: Dong-Hyun Kim
author: Ji-Hun Yoon
published in: Journal of Computational and Applied Mathematics
publication date: 2024-12-16T00:00:00Z
Mathematics Subject Classification ID: 91Gxx
Mathematics Subject Classification ID: 60Hxx
Mathematics Subject Classification ID: 91Bxx
zbMATH DE Number: 7958847
zbMATH Keywords: timer options
zbMATH Keywords: volatility derivatives
zbMATH Keywords: volatility-barrier options
zbMATH Keywords: method of images
zbMATH Keywords: Heston's stochastic volatility
zbMATH Keywords: timer volatility double barrier options
MaRDI profile type: Publication
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DOI: 10.1016/J.CAM.2024.116310
description: scientific article; zbMATH DE number 7958847