PRICING TWO-ASSET BARRIER OPTIONS UNDER STOCHASTIC CORRELATION VIA PERTURBATION (Q5256837)

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scientific article; zbMATH DE number 6452369
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PRICING TWO-ASSET BARRIER OPTIONS UNDER STOCHASTIC CORRELATION VIA PERTURBATION
scientific article; zbMATH DE number 6452369

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    PRICING TWO-ASSET BARRIER OPTIONS UNDER STOCHASTIC CORRELATION VIA PERTURBATION (English)
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    29 June 2015
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    multivariate asset price model
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    stochastic correlation
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    perturbation theory
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    barrier derivatives pricing
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