Closed-form pricing of two-asset barrier options with stochastic covariance (Q4586037)
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scientific article; zbMATH DE number 6934898
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| English | Closed-form pricing of two-asset barrier options with stochastic covariance |
scientific article; zbMATH DE number 6934898 |
Statements
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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0.8755289912223816
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0.8368476629257202
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0.7861344814300537
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0.7728305459022522
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0.7699187994003296
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