Valuation of FX barrier options under stochastic volatility

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Publication:1000409


DOI10.1007/BF02425801zbMath1153.91506MaRDI QIDQ1000409

Eckhard Platen, David C. Heath

Publication date: 6 February 2009

Published in: Financial Engineering and the Japanese Markets (Search for Journal in Brave)


91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

91G20: Derivative securities (option pricing, hedging, etc.)

60H15: Stochastic partial differential equations (aspects of stochastic analysis)