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• W2247002682 abstract "This paper proposes an analytical approximation to price exotic options within a stochastic volatility framework. Assuming a general mean reverting process for the underlying asset and a square-root process for the volatility, we derive an approximation for option prices using a Taylor expansion around two average defined volatilities. The moments of the average volatilities are computed analytically at any order using a Frobenius series solution to some ordinary differential equation. Pricing some exotics such as barrier and digital barrier options, the approximation is found to be very efficient and convergent even at low Taylor expansion order." @default.
• W2247002682 created "2016-06-24" @default.
• W2247002682 creator A5039135245 @default.
• W2247002682 date "2005-01-01" @default.
• W2247002682 modified "2023-09-28" @default.
• W2247002682 title "Exotic Options Pricing under Stochastic Volatility" @default.
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• W2247002682 hasPublicationYear "2005" @default.
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