For a general stochastic volatility framework with correlation between the spot price and the instantaneous volatility, an analytical approximation for single barrier options with continuous monitoring is given. The approximation… Click to show full abstract
For a general stochastic volatility framework with correlation between the spot price and the instantaneous volatility, an analytical approximation for single barrier options with continuous monitoring is given. The approximation is expressed only in terms of market observable implied volatilities and prices. As such the approximation is independent of the specific form and number of parameters of the skew‐generating stochastic volatility model.
Keywords:
general stochastic;
barrier options;
stochastic volatility;
volatility;
volatility framework;
approximation
Journal Title: Journal of Futures Markets
Year Published: 2024
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Journal Title: Journal of Futures Markets
Year Published: 2024
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!