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Document type:
Zeitschriftenaufsatz 
Author(s):
Escobar, M.; Götz, B.; Zagst, R. 
Non-TUM Co-author(s):
ja 
Cooperation:
international 
Title:
Two Asset-Barrier Option under Stochastic Volatility 
Abstract:
Financial products which depend on hitting times for two underlying assets have become very popular in the last decade. Three common examples are: double-digital barrier options, two-asset barrier spread options and double lookback options. Analytical expressions for the joint density/distribution of the endpoints and maximum and/or minimum values of two assets are essential in order to obtain closed-form solutions for the price of these derivatives. He et al. (1998) [17] and Zhou (1997, 2001) [...    »
 
Keywords:
stochastic volatility, two-asset barrier options 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Applied Mathematical Finance 
Year:
2017 
Journal volume:
24 
Journal issue:
Pages contribution:
520–546 
Reviewed:
nein 
Language:
en 
Status:
Postprint / reviewed 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Nein 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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