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Title:

Efficiently pricing double barrier derivatives in stochastic volatility models

Document type:
Zeitschriftenaufsatz
Author(s):
Escobar, M.; Hieber, P.; Scherer, M.
Non-TUM Co-author(s):
ja
Cooperation:
international
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
Journal title:
Review of Derivatives Research
Journal listet in FT50 ranking:
nein
Year:
2014
Journal volume:
17
Journal issue:
2
Pages contribution:
191–216
Reviewed:
ja
Language:
en
Fulltext / DOI:
doi:https://doi.org/10.1007/s11147-013-9094-4
Status:
Verlagsversion / published
TUM Institution:
Lehrstuhl für Finanzmathematik
Format:
Text
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
Interdisciplinarity:
Nein
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