Benutzer: Gast  Login
Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Escobar, M.; Hieber, P.; Scherer, M. 
Nicht-TUM Koautoren:
ja 
Kooperation:
international 
Titel:
Efficiently pricing double barrier derivatives in stochastic volatility models 
Abstract:
Imposing a symmetry condition on returns, Carr and Lee [2009] show that (double) barrier derivatives can be replicated by a portfolio of European options and can thus be priced using fast Fourier techniques (FFT). We show that prices of barrier derivatives in stochastic volatility models can alternatively be represented by rapidly converging series, putting forward an idea by Hieber and Scherer [2012]. This representation turns out to be faster and more accurate than FFT. Numerical examples and...    »
 
Intellectual Contribution:
Discipline-based Research 
Zeitschriftentitel:
Review of Derivatives Research 
Journal gelistet in FT50 Ranking:
nein 
Jahr:
2014 
Band / Volume:
17 
Heft / Issue:
Seitenangaben Beitrag:
191–216 
Reviewed:
ja 
Sprache:
en 
Status:
Verlagsversion / published 
TUM Einrichtung:
Lehrstuhl für Finanzmathematik 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein 
Interdisziplinarität:
Nein