An approximation method for pricing continuous barrier options under multi-asset local stochastic volatility models
Kenichiro Shiraya
| Year of publication: |
2020
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|---|---|
| Authors: | Shiraya, Kenichiro |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 23.2020, 8, p. 1-20
|
| Subject: | Approximation formula | barrier options | local stochastic volatility models | multi-asset | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S021902492050051X [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012496929