Valuation of FX barrier options under stochastic volatility

DOI10.1007/BF02425801zbMath1153.91506OpenAlexW2912502810MaRDI QIDQ1000409

Eckhard Platen, David C. Heath

Publication date: 6 February 2009

Published in: Financial Engineering and the Japanese Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02425801

zbMATH Keywords

stochastic volatilityMonte Carlo simulationvariance reductionbarrier options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (1)

CURRENCY DERIVATIVES UNDER A MINIMAL MARKET MODEL WITH RANDOM SCALING

Cites Work

• Option Pricing Under Incompleteness and Stochastic Volatility
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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