Pricing two-asset barrier options under stochastic correlation via perturbation
Marcos Escobar; Barbara Götz and Daniela Neykova; Rudi Zagst
| Year of publication: |
2015
|
|---|---|
| Authors: | Escobar, Marcos ; Götz, Barbara ; Neykova, Daniela ; Zagst, Rudi |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 18.2015, 3, p. 1-44
|
| Subject: | Multivariate asset price model | stochastic correlation | perturbation theory | barrier derivatives pricing | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Korrelation | Correlation | Optionsgeschäft | Option trading | Derivat | Derivative | CAPM | Black-Scholes-Modell | Black-Scholes model |