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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Escobar, M.; Götz, B.; Zagst, R. 
Nicht-TUM Koautoren:
ja 
Kooperation:
international 
Titel:
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) [...    »
 
Stichworte:
stochastic volatility, two-asset barrier options 
Intellectual Contribution:
Discipline-based Research 
Zeitschriftentitel:
working paper 
Jahr:
2012 
Seitenangaben Beitrag:
Reviewed:
nein 
Sprache:
en 
Status:
Preprint / submitted 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Nein 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein