Valuation of barrier and lookback options under hybrid CEV and stochastic volatility.
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| Title: | Valuation of barrier and lookback options under hybrid CEV and stochastic volatility. |
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| Authors: | Cao, Jiling1, jiling.cao@aut.ac.nz, Kim, Jeong-Hoon2, jhkim96@yonsei.ac.kr, Li, Xi1, xi.li@aut.ac.nz, Zhang, Wenjun1, wenjun.zhang@aut.ac.nz |
| Source: | Mathematics & Computers in Simulation; Jun2023, Vol. 208, p660-676, 17p |
| Database: | Applied Science & Technology Source |
| ISSN: | 03784754 |
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| DOI: | 10.1016/j.matcom.2023.01.035 |
