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We consider the saddlepoint approximation methods for pricing derivatives whose payoffs depend on the discrete realized variance of the underlying price process of a risky asset. Most of the earlier pricing models of variance products and volatility derivatives use the quadratic variation...
Persistent link: https://www.econbiz.de/10010824921
A general framework is formulated to price various forms of European style multi-asset barrier options and occupation time derivatives with one state variable having the barrier feature. Based on the lognormal assumption of asset price processes, the splitting direction technique is developed...
Persistent link: https://www.econbiz.de/10005495415