Efficiently pricing double barrier derivatives in stochastic volatility models
Marcos Escobar; Peter Hieber; Matthias Scherer
| Year of publication: |
2014
|
|---|---|
| Authors: | Escobar, Marcos ; Hieber, Peter ; Scherer, Matthias |
| Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 17.2014, 2, p. 191-216
|
| Subject: | First-passage time | Barrier options | Stochastic volatility | Stochastic clock | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Optionsgeschäft | Option trading |
| 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/10010529630