Semi-analytical prices for lookback and barrier options under the Heston model (Q2292063): Difference between revisions

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+Semi-static hedging of variable annuities
@@ Property / cites work: Semi-static hedging of variable annuities / rank @@
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@@ Property / cites work @@
+NEARLY EXACT OPTION PRICE SIMULATION USING CHARACTERISTIC FUNCTIONS
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+Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
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+A Continuity Correction for Discrete Barrier Options
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+Hedging guarantees in variable annuities under both equity and interest rate risks
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+Probability distribution of returns in the Heston model with stochastic volatility*
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+Q4279452
@@ Property / cites work: Q4279452 / rank @@
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@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Q4039796
@@ Property / cites work: Q4039796 / rank @@
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+Q5423895
@@ Property / cites work: Q5423895 / rank @@
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+An analytic pricing formula for lookback options under stochastic volatility
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@@ Property / cites work @@
+Fluctuation identities with continuous monitoring and their application to the pricing of barrier options
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@@ Property / cites work @@
+Self-dual continuous processes
@@ Property / cites work: Self-dual continuous processes / rank @@
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+Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options
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+THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION
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@@ Property / cites work @@
+Lookback options and dynamic fund protection under multiscale stochastic volatility
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@@ Property / DOI @@
+.1007/S10203-019-00254-X
@@ Property / DOI: 10.1007/S10203-019-00254-X / rank @@
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+Publication:2292063