Götz, Barbara; Escobar, Marcos; Zagst, Rudi - In: Applied Mathematical Finance 21 (2014) 4, pp. 363-397
Single and double barrier options on more than one underlying with stochastic volatility are usually priced via Monte Carlo simulation due to the non-existence of closed-form solutions for their value. In this paper, for a special dependence structure, the prices of some two-asset barrier...