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A forward equation for barrier options under the Brunick & Shreve Markovian projection

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  • Ben Hambly
  • Matthieu Mariapragassam
  • Christoph Reisinger

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  • Ben Hambly & Matthieu Mariapragassam & Christoph Reisinger, 2016. "A forward equation for barrier options under the Brunick & Shreve Markovian projection," Quantitative Finance, Taylor & Francis Journals, vol. 16(6), pages 827-838, June.
    • Handle: RePEc:taf:quantf:v:16:y:2016:i:6:p:827-838
    DOI: 10.1080/14697688.2015.1099718
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    References listed on IDEAS

    as
    1. Peter Carr & John Crosby, 2010. "A class of Levy process models with almost exact calibration to both barrier and vanilla FX options," Quantitative Finance, Taylor & Francis Journals, vol. 10(10), pages 1115-1136.
    2. Alexander Cox & Jan Obłój, 2011. "Robust pricing and hedging of double no-touch options," Finance and Stochastics, Springer, vol. 15(3), pages 573-605, September.
    3. Forde, Martin, 2014. "On the Markovian projection in the Brunick–Shreve mimicking result," Statistics & Probability Letters, Elsevier, vol. 85(C), pages 98-105.
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    Citations

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    Cited by:

    1. Köpfer, Benedikt & Rüschendorf, Ludger, 2023. "Markov projection of semimartingales — Application to comparison results," Stochastic Processes and their Applications, Elsevier, vol. 162(C), pages 361-386.
    2. Martin Tegn'er & Stephen Roberts, 2019. "A Probabilistic Approach to Nonparametric Local Volatility," Papers 1901.06021, arXiv.org, revised Jan 2019.
    3. Martin Tegner & Stephen Roberts, 2021. "A Bayesian take on option pricing with Gaussian processes," Papers 2112.03718, arXiv.org.
    4. Andrei Cozma & Christoph Reisinger, 2017. "Strong convergence rates for Euler approximations to a class of stochastic path-dependent volatility models," Papers 1706.07375, arXiv.org, revised Oct 2018.
    5. Alan Bain & Matthieu Mariapragassam & Christoph Reisinger, 2019. "Calibration of Local-Stochastic and Path-Dependent Volatility Models to Vanilla and No-Touch Options," Papers 1911.00877, arXiv.org.
    6. Qiao, Huijie & Wu, Jiang-Lun, 2016. "Characterizing the path-independence of the Girsanov transformation for non-Lipschitz SDEs with jumps," Statistics & Probability Letters, Elsevier, vol. 119(C), pages 326-333.

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