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Correction to: Semi-analytical prices for lookback and barrier options under the Heston model

Author

Listed:
  • Luca Gennaro Aquino

    (Grenoble Ecole de Management)

  • Carole Bernard

    (Grenoble Ecole de Management
    Vrije Universiteit Brussel (VUB))

Abstract

In this note, we point out a mistake in Theorem 1 of De De Gennaro Aquino and Bernard (Decis Econ Finance 42(2):715–741, 2019) and provide some missing references where the problem of pricing barrier options under the Heston model had previously been discussed.

Suggested Citation

  • Luca Gennaro Aquino & Carole Bernard, 2022. "Correction to: Semi-analytical prices for lookback and barrier options under the Heston model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 447-449, June.
    • Handle: RePEc:spr:decfin:v:45:y:2022:i:1:d:10.1007_s10203-021-00360-9
    DOI: 10.1007/s10203-021-00360-9
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    Keywords

    Derivatives pricing; Lookback options; Barrier options; Path-dependent options; Heston model; Stochastic volatility;
    All these keywords.

    JEL classification:

    • C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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