✦ LIBER ✦

Efficiently pricing double barrier derivatives in stochastic volatility models

✍ Scribed by Escobar, Marcos; Hieber, Peter; Scherer, Matthias

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

New solvable stochastic volatility model

✍ Itkin, Andrey 📂 Article 📅 2012 🏛 Springer US 🌐 English ⚖ 406 KB

PRICING OPTIONS ON VARIANCE IN AFFINE ST

✍ Jan Kallsen; Johannes Muhle-Karbe; Moritz Voß 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 185 KB

Option Pricing in Multivariate Stochasti

✍ Muhle-Karbe, Johannes; Pfaffel, Oliver; Stelzer, Robert 📂 Article 📅 2012 🏛 Society for Industrial and Applied Mathematics 🌐 English ⚖ 442 KB

Robust static hedging of barrier options

✍ J. H. Maruhn; E. W. Sachs 📂 Article 📅 2008 🏛 Springer 🌐 English ⚖ 434 KB

Option Pricing in Stochastic Volatility

✍ Elisa Nicolato; Emmanouil Venardos 📂 Article 📅 2003 🏛 John Wiley and Sons 🌐 English ⚖ 190 KB

Foreign equity option pricing under stoc

✍ Weidong Xu; Chongfeng Wu; Hongyi Li 📂 Article 📅 2011 🏛 Elsevier Science 🌐 English ⚖ 698 KB