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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| Property / cites work: Q3951448 / rank | |||
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Revision as of 01:39, 29 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Valuation of FX barrier options under stochastic volatility |
scientific article |
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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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