A Model-Free Approximation for Barrier Options in a General Stochastic Volatility Framework
The article introduces a formula for calculating single barrier options in a stochastic volatility framework, not dependent on the model's form or parameters.
Featured in No. 14 on 30 Aug 2023 · on release day · 0 citations today
- Released
- 30 Aug 2023
- First featured
- No. 14 · 30 Aug 2023
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- SSRN 4556330
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