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Titel:

Two Asset-Barrier Option under Stochastic Volatility

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Escobar, M.; Götz, B.; Zagst, R.
Nicht-TUM Koautoren:
ja
Kooperation:
international
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:
Applied Mathematical Finance
Journal gelistet in FT50 Ranking:
nein
Jahr:
2017
Band / Volume:
24
Heft / Issue:
6
Seitenangaben Beitrag:
520–546
Reviewed:
nein
Sprache:
en
Volltext / DOI:
doi:10.1080/1350486X.2017.1419910
Status:
Postprint / reviewed
Format:
Text
Urteilsbesprechung:
0
Key publication:
Nein
Peer reviewed:
Nein
International:
Ja
Book review:
Nein
commissioned:
not commissioned
Professional Journal:
Nein
Technology:
Nein
Interdisziplinarität:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
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