Brownian Martingale Approximation for Barrier Option Pricing

2015 ◽  
Author(s):  
Hideharu Funahashi
Keyword(s):  
Option Pricing ◽  
Barrier Option ◽  
Martingale Approximation ◽  
Barrier Option Pricing

Window Barrier Option Pricing with the Hybrid Stochastic-Local Volatility Model

2013 ◽  
Author(s):  
Yu Tian ◽  
Zili Zhu ◽  
Geoffrey Lee ◽  
Thomas Lo ◽  
Fima Klebaner ◽  
...  
Keyword(s):  
Option Pricing ◽  
Barrier Option ◽  
Local Volatility ◽  
Local Volatility Model ◽  
Volatility Model ◽  
Barrier Option Pricing ◽  
Stochastic Local Volatility

High-order accurate implicit methods for barrier option pricing

2011 ◽  
Vol 218 (5) ◽  
pp. 2210-2224 ◽  
Author(s):  
J.C. Ndogmo ◽  
D.B. Ntwiga
Keyword(s):  
Option Pricing ◽  
High Order ◽  
Barrier Option ◽  
Implicit Methods ◽  
Barrier Option Pricing

scholarly journals An Accurate FFT-Based Algorithm for Bermudan Barrier Option Pricing

2012 ◽  
Vol 04 (03) ◽  
pp. 89-93 ◽  
Author(s):  
Deng Ding ◽  
Zuoqiu Weng ◽  
Jingya Zhao
Keyword(s):  
Option Pricing ◽  
Barrier Option ◽  
Barrier Option Pricing

Integral approach to Asian barrier option pricing

2019 ◽  
Author(s):  
A. Aimi ◽  
L. Diazzi ◽  
C. Guardasoni
Keyword(s):  
Option Pricing ◽  
Integral Approach ◽  
Barrier Option ◽  
Barrier Option Pricing

Robust barrier option pricing by frame projection under exponential Lévy dynamics

2017 ◽  
Vol 24 (4) ◽  
pp. 337-386 ◽  
Author(s):  
J. Lars Kirkby
Keyword(s):  
Option Pricing ◽  
Barrier Option ◽  
Barrier Option Pricing

scholarly journals Barrier option pricing for assets with Markov-modulated dividends

2006 ◽  
Vol 9 (4) ◽  
pp. 75-87 ◽  
Author(s):  
Giuseppe Di Graziano ◽  
L. C. G. Rogers
Keyword(s):  
Option Pricing ◽  
Barrier Option ◽  
Markov Modulated ◽  
Barrier Option Pricing

scholarly journals Barrier Option Pricing with Model Averaging Methods under Local Volatility Models

2011 ◽  
Vol 10 (1) ◽  
pp. 84-94 ◽  
Author(s):  
Nam-Hyoung Kim ◽  
Kyu-Hwan Jung ◽  
Jae-Wook Lee ◽  
Gyu-Sik Han
Keyword(s):  
Option Pricing ◽  
Model Averaging ◽  
Barrier Option ◽  
Local Volatility ◽  
Averaging Methods ◽  
Volatility Models ◽  
Barrier Option Pricing

scholarly journals American Barrier Option Pricing Formulas for Stock Model in Uncertain Environment

IEEE Access ◽  
2019 ◽  
Vol 7 ◽  
pp. 97846-97856 ◽  
Author(s):  
Rong Gao ◽  
Kaixiang Liu ◽  
Zhiguo Li ◽  
Rongjie Lv
Keyword(s):  
Option Pricing ◽  
Barrier Option ◽  
Uncertain Environment ◽  
Stock Model ◽  
Barrier Option Pricing
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