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Titel:

Efficiently pricing double barrier derivatives in stochastic volatility models

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Escobar, M.; Hieber, P.; Scherer, M.
Nicht-TUM Koautoren:
ja
Kooperation:
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
Zeitschriftentitel:
Review of Derivatives Research
Journal gelistet in FT50 Ranking:
nein
Jahr:
2014
Band / Volume:
17
Heft / Issue:
2
Seitenangaben Beitrag:
191–216
Reviewed:
ja
Sprache:
en
Volltext / DOI:
doi:https://doi.org/10.1007/s11147-013-9094-4
Status:
Verlagsversion / published
TUM Einrichtung:
Lehrstuhl für Finanzmathematik
Format:
Text
Urteilsbesprechung:
0
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
commissioned:
not commissioned
Professional Journal:
Nein
Interdisziplinarität:
Nein
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