An analytical approximation formula for barrier option prices under the heston model
Xin-Jiang He, Sha Lin
| Year of publication: |
2022
|
|---|---|
| Authors: | He, Xin-Jiang ; Lin, Sha |
| Subject: | Accuracy | Analytical approximation | Barrier options | Fourier cosine series | Heston model | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Monte-Carlo-Simulation | Monte Carlo simulation |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-021-10186-7 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013447445