scholarly journals Correction to: Semi-analytical prices for lookback and barrier options under the Heston model

2021 ◽  
Author(s):  
Luca De Gennaro Aquino ◽  
Carole Bernard
Keyword(s):  
Heston Model ◽  
Barrier Options

Pricing barrier options in the Heston model using the Heath–Platen estimator

2018 ◽  
Vol 24 (1) ◽  
pp. 29-41 ◽  
Author(s):  
Sema Coskun ◽  
Ralf Korn
Keyword(s):  
Stochastic Volatility ◽  
Real Life ◽  
Theoretical Concept ◽  
Stochastic Volatility Model ◽  
Heston Model ◽  
Superior Performance ◽  
Financial Mathematics ◽  
Barrier Options ◽  
Numerical Examples ◽  
Volatility Model

Abstract Both barrier options and the Heston stochastic volatility model are omnipresent in real-life applications of financial mathematics. In this paper, we apply the Heath–Platen (HP) estimator (as first introduced by Heath and Platen in [12]) to price barrier options in the Heston model setting as an alternative to conventional Monte Carlo methods and PDE based methods. We demonstrate the superior performance of the HP estimator via numerical examples and explain this performance by a detailed look at the underlying theoretical concept of the HP estimator.

Semi-analytical prices for lookback and barrier options under the Heston model

2019 ◽  
Vol 42 (2) ◽  
pp. 715-741 ◽  
Author(s):  
Luca De Gennaro Aquino ◽  
Carole Bernard
Keyword(s):  
Heston Model ◽  
Barrier Options

Discrete Asian barrier options

1999 ◽  
Vol 3 (1) ◽  
pp. 41-67 ◽  
Author(s):  
R Zvan ◽  
P Forsyth ◽  
K Vetzal
Keyword(s):  
Barrier Options

Comment on 'The Large-Maturity Smile for the Heston Model'

2011 ◽  
Author(s):  
Carole Bernard ◽  
Zhenyu Cui ◽  
Don McLeish
Keyword(s):  
Heston Model
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