Closed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance
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Publication:4586037
DOI10.1080/1350486X.2014.881662zbMath1395.91443OpenAlexW2066118666MaRDI QIDQ4586037
Barbara Götz, Rudi Zagst, Marcos Escobar
Publication date: 11 September 2018
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/1350486x.2014.881662
Related Items (3)
Two asset-barrier option under stochastic volatility ⋮ A note on the distribution of multivariate Brownian extrema ⋮ PRICING TWO-ASSET BARRIER OPTIONS UNDER STOCHASTIC CORRELATION VIA PERTURBATION
Uses Software
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