Pricing discretely monitored barrier options : When Malliavin calculus expansions meet Hilbert transforms
Ning Cai, Chenxu Li, Chao Shi
| Year of publication: |
2021
|
|---|---|
| Authors: | Cai, Ning ; Li, Chenxu ; Shi, Chao |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 127.2021, p. 1-41
|
| Subject: | Hilbert transforms | Malliavin calculus based expansions | Discretely monitored barrier options | Jump diffusion models with multifactor stochastic volatility | CEV model | Stochastic volatility models with jumps | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility |