Correction to: ``Semi-analytical prices for lookback and barrier options under the Heston model

DOI10.1007/S10203-021-00360-9MaRDI QIDQ2145708zbMATH OpenOpenAlexFDO

Authors Luca De Gennaro Aquino, Carole Bernard

Publication date 17 June 2022

Published in Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10203-021-00360-9

zbMATH Keywords

stochastic volatilitypath-dependent optionsderivatives pricingHeston modelbarrier optionslookback options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic models in economics (91B70)

Recommendations

• Correction to: ``Exchange option under jump-diffusion dynamics
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Cites work

• Mathematical methods for foreign exchange. A financial engineer's approach
• Semi-analytical prices for lookback and barrier options under the Heston model

Cited in

(8)

• A correction note to ``Discrete time hedging errors for options with irregular payoffs
• Correction to: ``No-arbitrage commodity option pricing with market manipulation
• Correction to: ``Exchange option under jump-diffusion dynamics
• Correction to: ``Trinomial tree based option pricing model in supply chain financing
• Correction to: ``Pricing two-asset alternating barrier options with icicles and their variations
• A note on essential smoothness in the Heston model
• Correction note for ``The large-maturity smile for the Heston model
• A correction note for price dynamics in a Markovian limit order market

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