Valuation of FX barrier options under stochastic volatility (Q1000409)

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Valuation of FX barrier options under stochastic volatility
scientific article

    Statements

    title
    Valuation of FX barrier options under stochastic volatility (English)
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    author
    Eckhard Platen
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    David C. Heath
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    publication date
    6 February 2009
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    zbMATH Keywords
    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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    Identifiers

    DOI
    10.1007/BF02425801
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    Mathematics Subject Classification ID
    91G20
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    60H15
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    65C05
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    91G60
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    zbMATH DE Number
    5503448
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    OpenAlex ID
    W2912502810
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