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International Journal of Computer Mathematics Volume 86, 2009 - Issue 6: SPECIAL ISSUE ON FINANCIAL DERIVATIVES
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Original Articles

A fourth-order smoothing scheme for pricing barrier options under stochastic volatility

M. Yousuf Department of Mathematics and Statistics, King Fahd University of Petroleum and Minerals, Dhahran, Saudi ArabiaCorrespondence[email protected]
Pages 1054-1067 | Received 06 Sep 2008, Published online: 01 Jun 2009

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Sumei Zhang & Guangdong Zhang. (2019) An analytical approximation method for pricing barrier options under the double Heston model. Communications in Statistics - Theory and Methods 48:22, pages 5657-5671.
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Articles from other publishers (6)

Xin-Jiang He & Sha Lin. (2021) An Analytical Approximation Formula for Barrier Option Prices Under the Heston Model. Computational Economics 60:4, pages 1413-1425.
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Ming-Kai Wang, Cheng Wang & Jun-Feng Yin. (2022) A class of fourth-order Padé schemes for fractional exotic options pricing model. Electronic Research Archive 30:3, pages 874-897.
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Hideharu Funahashi & Tomohide Higuchi. (2017) An analytical approximation for single barrier options under stochastic volatility models. Annals of Operations Research 266:1-2, pages 129-157.
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Zhang Sumei & Zhao Jieqiong. (2017) Efficient Simulation for Pricing Barrier Options with Two-Factor Stochastic Volatility and Stochastic Interest Rate. Mathematical Problems in Engineering 2017, pages 1-8.
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Pierre Rostan, Alexandra Rostan & François-Éric Racicot. (2015) Pricing discrete double barrier options with a numerical method. Journal of Asset Management 16:4, pages 243-271.
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Carl Chiarella, Boda Kang & Gunter H. Meyer. (2012) The evaluation of barrier option prices under stochastic volatility. Computers & Mathematics with Applications 64:6, pages 2034-2048.
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