A unified approach to Bermudan and barrier options under stochastic volatility models with jumps

By J. Kirkby, Duy Nguyen, Zhenyu Cui. 2017

73 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/56cd5d2f954528271f5228bc14c94ebd14c462f5

Citations in the corpus

• Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models (2020, unknown): “This unified framework has proven effective at solving a wide variety of problems in option pricing, including barrier and American options Kirkby et al. (2017), realized variance derivatives Cui et al. (2017b), Leitao Rodriguez et al. (2019), and cliquet-style equity-linked annuities Cui et al.…”