This paper presents a comprehensive extension of pricing two-dimensional derivatives depending on two barrier constraints. We assume randomness on the covariance matrix as a way of generalizing. We analyse common barrier derivatives, enabling us to study parameter uncertainty and the risk...

The paper analyzes the sensitivity of the downside risk of a standard derivatives portfolio to a change in the mean-reversion level of its underlyings. From Monte-Carlo simulation, it is found that the higher the intensity of mean-reversion, the lower the probability of reaching a predetermined...

We analyze the sensitivity of the downside risk of a standard derivatives' portfolio to a change of the mean-reversion level of its underlyings. In a Monte-Carlo simulation, we find that the higher the intensity of mean-reversion, the lower the probability of reaching a pre-determined loss...