The valuation of barrier options under a threshold rough Heston model
Year of publication: |
2023
|
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Authors: | Tong, Kevin Z. ; Liu, Allen |
Published in: |
Journal of management science and engineering. - Amsterdam : Elsevier, ISSN 2589-5532, ZDB-ID 2972364-4. - Vol. 8.2023, 1, p. 15-31
|
Subject: | Barrier options | Eigenfunction expansion | Rough stochastic volatility | Stochastic time change | Threshold diffusion | Stochastischer Prozess | Stochastic process | Experiment | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Black-Scholes-Modell | Black-Scholes model |
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