Closed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance (Q4586037)
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scientific article; zbMATH DE number 6934898
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Closed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance |
scientific article; zbMATH DE number 6934898 |
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Closed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance (English)
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11 September 2018
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stochastic volatility
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random correlation
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generalized Fourier transform
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barrier options
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