A Stochastic Approach to the Valuation of Barrier Options in Heston's Stochastic Volatility Model
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References listed on IDEAS
- Andrew Ziogas & Carl Chiarella, 2005. "Pricing American Options under Stochastic Volatility," Computing in Economics and Finance 2005 77, Society for Computational Economics.
- Susanne Griebsch & Uwe Wystup, 2011.
"On the valuation of fader and discrete barrier options in Heston's stochastic volatility model,"
Taylor & Francis Journals, vol. 11(5), pages 693-709.
- Griebsch, Susanne & Wystup, Uwe, 2008. "On the valuation of fader and discrete barrier options in Heston's Stochastic Volatility Model," CPQF Working Paper Series 17, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF).
- Carl Chiarella & Boda Kang & Gunter H. Meyer, 2010. "The Evaluation Of Barrier Option Prices Under Stochastic Volatility," Research Paper Series 266, Quantitative Finance Research Centre, University of Technology, Sydney.
More about this item
KeywordsHeston model; barrier options; reflection principle;
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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