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Quantitative Finance, Vol. 11, No. 5, May 2011, 693-709 On the valuation of fader and discrete barrier options in Heston's stochastic volatility model

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  • Susanne Griebsch
  • Uwe Wystup

Abstract

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Suggested Citation

  • Susanne Griebsch & Uwe Wystup, 2011. "Quantitative Finance, Vol. 11, No. 5, May 2011, 693-709 On the valuation of fader and discrete barrier options in Heston's stochastic volatility model," Quantitative Finance, Taylor & Francis Journals, vol. 11(8), pages 1271-1271.
    • Handle: RePEc:taf:quantf:v:11:y:2011:i:8:p:1271-1271
    DOI: 10.1080/14697688.2011.605316
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    References listed on IDEAS

    as
    1. Susanne Kruse & Ulrich Nögel, 2005. "On the pricing of forward starting options in Heston’s model on stochastic volatility," Finance and Stochastics, Springer, vol. 9(2), pages 233-250, April.
    2. Alexander Lipton, 2001. "Mathematical Methods for Foreign Exchange:A Financial Engineer's Approach," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 4694, February.
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    Cited by:

    1. Xingchun Wang, 2022. "Valuing fade-in options with default risk in Heston–Nandi GARCH models," Review of Derivatives Research, Springer, vol. 25(1), pages 1-22, April.
    2. Akira Yamazaki, 2016. "Generalized Barndorff-Nielsen And Shephard Model And Discretely Monitored Option Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(04), pages 1-34, June.
    3. Susanne Griebsch, 2013. "The evaluation of European compound option prices under stochastic volatility using Fourier transform techniques," Review of Derivatives Research, Springer, vol. 16(2), pages 135-165, July.

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