Two asset-barrier option under stochastic volatility
Author:
Affiliation:
1. Technische Universität München, München, Germany
2. Department of Statistical and Actuarial Sciences, Western University, London, ON, Canada
Publisher
Informa UK Limited
Subject
Applied Mathematics,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/1350486X.2017.1419910
Reference37 articles.
1. Spanning and derivative-security valuation
2. Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics
3. Bhansali, V., and M. Wise. 2008. “Correlated Random Walks and the Joint Survival Probability.” arXiv:0812.2000v1 [q-n.ST].
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