Semi-analytical prices for lookback and barrier options under the Heston model
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Economics, Econometrics and Finance,Finance
Link
https://link.springer.com/content/pdf/10.1007/s10203-019-00254-x.pdf
Reference22 articles.
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3. Billingsley, P.: Probability and Measure. Wiley, New York (2008)
4. Broadie, M., Kaya, Ö.: Exact simulation of stochastic volatility and other affine jump diffusion processes. Oper. Res. 54(2), 217–231 (2006)
5. Broadie, M., Glasserman, P., Kou, S.: A continuity correction for discrete barrier options. Math. Finance 7(4), 325–349 (1997)
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3. Correction to: Semi-analytical prices for lookback and barrier options under the Heston model;Decisions in Economics and Finance;2021-10-27
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