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The evaluation of barrier option prices under stochastic volatility · Study

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ArticleThe evaluation of barrier option prices under stochastic volatility

Carl Chiarella2012

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Articlebronze2012

The evaluation of barrier option prices under stochastic volatility

Carl Chiarella · Boda Kang · Gunter H. Meyer

48 citations·0/0 files stored·Computers & Mathematics with Applications

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Fuzzy Systems and Optimization

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References

1973The Pricing of Options and Corporate Liabilities 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 2008A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions 2009Pricing early-exercise and discrete barrier options by fourier-cosine series expansions 2006Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach 2000PDE methods for pricing barrier options

Cited by

2016A new hybrid parametric and machine learning model with homogeneity hint for European-style index option pricing 2021Wind Put Barrier Options Pricing Based on the Nordix Index 2021An Analytical Approximation Formula for Barrier Option Prices Under the Heston Model 2015Heston‐Type Stochastic Volatility with a Markov Switching Regime

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2015BENCHOP – The BENCHmarking project in option pricingarticle · 6 shared references 2012Finite-Element Methodschapter · 6 shared references 2018COS method for option pricing under a regime-switching model with time-changed Lévy processesarticle · 6 shared references 2010The evaluation of American options in a stochastic volatility model with jumps: An efficient finite element approacharticle · 5 shared references 2013On pricing barrier options with regime switchingarticle · 5 shared references 2017Radial Basis Functions with Partition of Unity Method for American Options with Stochastic Volatilityarticle · 5 shared references

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Year2012

Typearticle

Published2012-05-04

VenueComputers & Mathematics with Applications

ISSN-L0898-1221

Languageen

Citations48

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.camwa.2012.03.103

openalex_workW2039766938

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