Semi-analytical prices for lookback and barrier options under the Heston model
Luca De Gennaro Aquino, Carole Bernard
| Year of publication: |
2019
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| Authors: | De Gennaro Aquino, Luca ; Bernard, Carole |
| Published in: |
Decisions in economics and finance : DEF ; a journal of applied mathematics. - Milano : Springer, ISSN 1593-8883, ZDB-ID 2040574-1. - Vol. 42.2019, 2, p. 715-741
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| Subject: | Derivatives pricing | Lookback options | Barrier options | Path-dependentoptions | Heston model | Stochastic volatility | Stochastischer Prozess | Stochastic process | Experiment | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading |
| Description of contents: | Description [doi.org] |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Corrigendum enthalten in: Decisions in Economics and Finance, Vol. 45 (2022), Seite 447-449 |
| Other identifiers: | 10.1007/s10203-019-00254-x [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012127317