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

DOI10.1007/S10203-021-00360-9zbMATH Open1489.91257OpenAlexW3208146486MaRDI QIDQ2145708FDOQ2145708

Carole Bernard, Luca De Gennaro Aquino

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

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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)

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 (3)

• Correction to: ``No-arbitrage commodity option pricing with market manipulation
• Correction to: ``Pricing two-asset alternating barrier options with icicles and their variations
• A correction note to ``Discrete time hedging errors for options with irregular payoffs

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