On the valuation of fader and discrete barrier options in Heston's stochastic volatility model
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Publication:3005361
DOI10.1080/14697688.2010.503375zbMath1213.91153OpenAlexW2152342393MaRDI QIDQ3005361
Uwe Wystup, Susanne A. Griebsch
Publication date: 7 June 2011
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10419/40173
Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (8)
A closed-form pricing formula for catastrophe equity options ⋮ Valuing fade-in options with default risk in Heston-Nandi GARCH models ⋮ PRICING HOLDER-EXTENDABLE CALL OPTIONS WITH MEAN-REVERTING STOCHASTIC VOLATILITY ⋮ Pricing vulnerable fader options under stochastic volatility models ⋮ Efficient simulation for pricing barrier options with two-factor stochastic volatility and stochastic interest rate ⋮ Pricing Path-Dependent Options with Discrete Monitoring under Time-Changed Lévy Processes ⋮ The evaluation of European compound option prices under stochastic volatility using Fourier transform techniques ⋮ Pricing path-dependent options under the Hawkes jump diffusion process
Cites Work
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- Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
- American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- A comparison of biased simulation schemes for stochastic volatility models
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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