PRICING TWO-ASSET BARRIER OPTIONS UNDER STOCHASTIC CORRELATION VIA PERTURBATION

DOI10.1142/S0219024915500181zbMath1337.91096MaRDI QIDQ5256837

Daniela Neykova, Rudi Zagst, Barbara Götz, Marcos Escobar

Publication date: 29 June 2015

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

perturbation theorystochastic correlationmultivariate asset price modelbarrier derivatives pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility

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