Can I read Chen Pricing Hedging Exotic on EtoBox?

Chen Pricing Hedging Exotic by qianruliu6 is a document available to read on EtoBox.

What is Chen Pricing Hedging Exotic about?

This thesis studies pricing and hedging exotic options such as barrier options in stochastic volatility models. It provides three main contributions: 1. It develops a general self-duality theorem to price and hedge barrier options in stochastic volatility models with correlation between the asset price and volatility processes. 2. It derives a decomposition formula for pricing barrier options using Itō calculus, providing an alternative to solving partial differential equations. Numerical simulations dem

Author

qianruliu6

Language

EN