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q-fin.PR2022
Pricing Path-dependent Options under Stochastic Volatility via Mellin Transform
Jiling Cao, Jeong-Hoon Kim, Xi Li +1
In this paper, we derive closed-form formulas of first-order approximation for down-and-out barrier and floating strike lookback put option prices under a stochastic volatility mod…
q-fin.PR2016★ 1 cited
Pricing variance swaps with stochastic volatility and stochastic interest rate under full correlation structure
Teh Raihana Nazirah Roslan, Wenjun Zhang, Jiling Cao
This paper considers the case of pricing discretely-sampled variance swaps under the class of equity-interest rate hybridization. Our modeling framework consists of the equity whic…