An Analytical Approximation Formula for Barrier Option Prices Under the Heston Modeldoi:10.1007/s10614-021-10186-7Barrier optionsHeston modelAnalytical approximationFourier cosine seriesAccuracyIn this paper, we investigate the pricing problem of barrier options under the Heston model. We innovatively ...
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The square root constant elasticity of variance (CEV) process has been paid little attention in previous research on valuation of barrier options. In this ... PH Yuen,CH Hui,LO C. F. - 《International Journal of Theoretical & Applied Finance》 被引量: 33发表: 2001年 The -Laplace system ...
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CLOSED FORM FORMULAS FOR EXOTIC OPTIONS AND THEIR LIFETIME DISTRIBUTION We first recall the well-known expression of the price of barrier options, and compute double barrier options by the mean of the iterated mirror principle... DOUADY,RAPHA?L - 《International Journal of Theoretical & Applied...
As an application, when the underlying follows a stochastic differential equation including stochastic volatility or Poisson jumps, we compute those super-replication prices for a range of European and American style options, including Asian, Lookback or Barrier Options. 展开 ...
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