Semi-analytical prices for lookback and barrier options under the Heston model
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Publication:2292063
DOI10.1007/S10203-019-00254-XzbMath1432.91121OpenAlexW2945343733MaRDI QIDQ2292063
Carole Bernard, Luca De Gennaro Aquino
Publication date: 31 January 2020
Published in: Decisions in Economics and Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10203-019-00254-x
stochastic volatilityderivatives pricingpath-dependent optionsHeston modelbarrier optionslookback options
Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (4)
Correction to: ``Semi-analytical prices for lookback and barrier options under the Heston model ⋮ Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms ⋮ Volatility and volatility-linked derivatives: estimation, modeling, and pricing ⋮ Model risk in the over-the-counter market
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