An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model
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DOI: 10.1016/j.jmaa.2016.11.061
Abstract: Abstract In this paper, we study a double-barrier option with a stochastic volatility model whose volatility is driven by a fast mean-reverting process, where the option's payoff is extinguished as the underlying asset crosses one… read more here.
Keywords: volatility; double barrier; stochastic volatility; barrier option ... See more keywords