An analytical approximation formula for barrier option prices under the heston model
Year of publication: |
2022
|
---|---|
Authors: | He, Xin-Jiang ; Lin, Sha |
Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 60.2022, 4, p. 1413-1425
|
Subject: | Accuracy | Analytical approximation | Barrier options | Fourier cosine series | Heston model | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Optionsgeschäft | Option trading |
-
The forward smile in local-stochastic volatility models
Mazzon, Andrea, (2017)
-
Analytical approximation for spread option pricing in local volatility model
Yang, Ying, (2017)
-
On two transform methods for the valuation of contingent claims
Nwozo, Chuma Raphael, (2015)
- More ...
-
Analytically pricing European options under a new two-factor Heston model with regime switching
Lin, Sha, (2022)
-
Analytically pricing exchange options with stochastic liquidity and regime switching
He, Xin-Jiang, (2023)
-
He, Xin-Jiang, (2023)
- More ...