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We derive a forward equation for arbitrage-free barrier option prices in terms of Markovian projections of a stochastic volatility process.
Calibration of Local-stochastic Volatility Models to Barrier Options Using A Dupire-type PDE
【摘 要】
：
We derive a forward equation for arbitrage-free barrier option prices in terms of Markovian projections of a stochastic volatility process.
【机 构】
：
Oxford Univ.
【出 处】
：
第八届工业与应用数学国际大会
【发表日期】
：
2015年期
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