Barrier option pricing under the 2-hypergeometric stochastic volatility model
نویسندگان
چکیده
منابع مشابه
Barrier option pricing under the 2-hypergeometric stochastic volatility model
The purpose of this thesis is to investigate the pricing of financial options under the 2-hypergeometricstochastic volatility model. This is an analytically tractable model which has recently been introducedas an attempt to tackle one of the most serious shortcomings of the famous Black and Scholes optionpricing model: the fact that it does not reproduce the volatility smile and ske...
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2018
ISSN: 0377-0427
DOI: 10.1016/j.cam.2017.06.034