Valuation of FX barrier options under stochastic volatility (Q1000409): Difference between revisions

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Property / cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / rank
 
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Property / cites work: Option Pricing Under Incompleteness and Stochastic Volatility / rank
 
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Latest revision as of 01:39, 29 June 2024

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Valuation of FX barrier options under stochastic volatility
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    Valuation of FX barrier options under stochastic volatility (English)
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    6 February 2009
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    barrier options
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    stochastic volatility
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    Monte Carlo simulation
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    variance reduction
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