Valuation of FX barrier options under stochastic volatility
From MaRDI portal
Publication:1000409
DOI10.1007/BF02425801zbMath1153.91506MaRDI QIDQ1000409
Eckhard Platen, David C. Heath
Publication date: 6 February 2009
Published in: Financial Engineering and the Japanese Markets (Search for Journal in Brave)
91G60: Numerical methods (including Monte Carlo methods)
65C05: Monte Carlo methods
91G20: Derivative securities (option pricing, hedging, etc.)
60H15: Stochastic partial differential equations (aspects of stochastic analysis)