Valuation of FX barrier options under stochastic volatility
DOI10.1007/BF02425801zbMATH Open1153.91506OpenAlexW2912502810MaRDI QIDQ1000409FDOQ1000409
Authors: Eckhard Platen, David Heath 
Publication date: 6 February 2009
Published in: Financial Engineering and the Japanese Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf02425801
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Cites Work
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- A closed-form solution for options with stochastic volatility with applications to bond and currency options
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- Pricing foreign currency options with stochastic volatility
- Option Pricing Under Incompleteness and Stochastic Volatility
Cited In (10)
- On the valuation of fader and discrete barrier options in Heston's stochastic volatility model
- Pricing barrier options in the Heston model using the Heath-Platen estimator
- Hedge funds as knock-out options
- Closed form valuation of barrier options with stochastic barriers
- Conditional sampling for barrier option pricing under the Heston model
- Valuation of Barrier Options in a Black–Scholes Setup with Jump Risk
- The evaluation of barrier option prices under stochastic volatility
- Valuation of barrier options via a general self-duality
- Two asset-barrier option under stochastic volatility
- CURRENCY DERIVATIVES UNDER A MINIMAL MARKET MODEL WITH RANDOM SCALING
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