Pricing Discrete Barrier Options Under Stochastic Volatility
Year of publication: |
2012
|
---|---|
Authors: | Shiraya, Kenichiro ; Takahashi, Akihiko ; Yamada, Toshihiro |
Published in: |
Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 19.2012, 3, p. 205-232
|
Publisher: |
Springer |
Subject: | Discrete barrier option | Barrier option | Knock-out option | Double barrier option | Stochastic volatility | CEV model | Heston model | SABR model | λ-SABR model | Asymptotic expansion | Malliavin calculus |
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