Closed-form pricing of two-asset barrier options with stochastic covariance
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Publication:4586037
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Cites work
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- Continuous Time Wishart Process for Stochastic Risk
- Double lookbacks
- EFFICIENT MONTE CARLO ALGORITHM FOR PRICING BARRIER OPTIONS
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- The pricing of options and corporate liabilities
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- Three dimensional distribution of Brownian motion extrema
- Two singular diffusion problems
- Unstructured meshing for two asset barrier options
Cited in
(7)- A note on the distribution of multivariate Brownian extrema
- Correction to: ``Pricing two-asset alternating barrier options with icicles and their variations
- Pricing two-asset alternating barrier options with icicles and their variations
- An asymptotic expansion formula for up-and-out barrier option price under stochastic volatility model
- A geometric approach to pricing multi-asset barrier options
- Pricing two-asset barrier options under stochastic correlation via perturbation
- Two asset-barrier option under stochastic volatility
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