Closed-form pricing of two-asset barrier options with stochastic covariance
Barbara Götz, Marcos Escobar & Rudi Zagst
| Year of publication: |
2014
|
|---|---|
| Authors: | Götz, Barbara ; Escobar, Marcos ; Zagst, Rudi |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 21.2014, 3/4, p. 363-397
|
| Subject: | Stochastic volatility | random correlation | generalized Fourier transform | barrier options | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Korrelation | Correlation | Monte-Carlo-Simulation | Monte Carlo simulation |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010499671