A model‐free approximation for barrier options in a general stochastic volatility framework
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DOI: 10.1002/fut.22498
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… read more here.
Keywords: general stochastic; barrier options; stochastic volatility; volatility ... See more keywords
Static Hedges of Barrier Options Under Fast Mean-Reverting Stochastic Volatility
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DOI: 10.1007/s10614-019-09883-1
Abstract: In this paper, we suggest a numerically stable method for static hedging of barrier options under fast mean-reverting stochastic volatility with transaction costs. We elucidate how perturbation theory converts static hedging on time–volatility grid into… read more here.
Keywords: reverting stochastic; mean reverting; volatility; options fast ... See more keywords
Barrier Options and Greeks: Modeling with Neural Networks
Sign Up to like & getrecommendations! Published in 2023 at "Axioms"
DOI: 10.3390/axioms12040384
Abstract: This paper proposes a non-parametric technique of option valuation and hedging. Here, we replicate the extended Black–Scholes pricing model for the exotic barrier options and their corresponding Greeks using the fully connected feed-forward neural network.… read more here.
Keywords: neural network; greeks modeling; methodology; options greeks ... See more keywords