An analytical approximation for single barrier options under stochastic volatility models
Author:
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research,General Decision Sciences
Link
http://link.springer.com/article/10.1007/s10479-017-2559-3/fulltext.html
Reference23 articles.
1. Akahori, J., & Imamura, Y. (2014). On a symmetrization of diffusion processes. Quantitative Finance, 14, 1211–1216.
2. Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81, 637–654.
3. Carr, P., & Lee, R. (2009). Put-call symmetry: Extensions and applications. Mathematical Finance, 19, 523–560.
4. Chiarella, C., Kang, B., & Meyer, G. H. (2012). The evaluation of barrier option prices under stochastic volatility. Computers and Mathematics with Application, 64(6), 2034–2048.
5. Di Nunno, G., Øksendal, B., & Proske, F. (2009). Malliavin calculus for Lévy processes with applications to finance. Berlin: Springer.
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