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Title:

Closed form pricing of two-asset barrier options with stochastic covariance

Document type:
Zeitschriftenaufsatz
Author(s):
Escobar, M.; Götz, B.; Zagst, R.
Non-TUM Co-author(s):
ja
Cooperation:
international
Abstract:
Single and double barrier options on more than one underlying with stochastic volatility are usually priced via Monte Carlo simulation due to the non-existence of closed-form solutions for their value. In this paper, we show a valuation method which gives prices for barrier options with one barrier per underlying in a two-dimensional stochastic covariance framework (two-asset barrier options). For a special dependence structure, the prices of some of two-asset barrier derivatives, like digital o...     »
Keywords:
stochastic volatility, random correlation, generalized Fourier transform, barrier options
Intellectual Contribution:
Discipline-based Research
Journal title:
Applied Mathematical Finance
Journal listet in FT50 ranking:
nein
Year:
2014
Journal volume:
21
Journal issue:
4
Pages contribution:
363-397
Reviewed:
ja
Language:
en
Status:
Verlagsversion / published
TUM Institution:
Lehrstuhl für Finanzmathematik
Format:
Text
Judgement review:
0
Key publication:
Ja
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Ja
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