scholarly journals A Stochastic Approach to the Valuation of Barrier Options in Heston’s Stochastic Volatility Model

2012 ◽  
Author(s):  
Susanne Griebsch ◽  
Kay F. Pilz
Keyword(s):  
Stochastic Volatility ◽  
Stochastic Approach ◽  
Stochastic Volatility Model ◽  
Barrier Options ◽  
Volatility Model

Pricing external barrier options under a stochastic volatility model

2021 ◽  
pp. 113555
Author(s):  
Donghyun Kim ◽  
Ji-Hun Yoon ◽  
Chang-Rae Park
Keyword(s):  
Stochastic Volatility ◽  
Stochastic Volatility Model ◽  
Barrier Options ◽  
Volatility Model ◽  
External Barrier

scholarly journals On the valuation of fader and discrete barrier options in Heston's stochastic volatility model

2011 ◽  
Vol 11 (5) ◽  
pp. 693-709 ◽  
Author(s):  
Susanne A. Griebsch ◽  
Uwe Wystup
Keyword(s):  
Stochastic Volatility ◽  
Stochastic Volatility Model ◽  
Barrier Options ◽  
Volatility Model

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.

scholarly journals Pricing Parisian Option under a Stochastic Volatility Model

2014 ◽  
Vol 2014 ◽  
pp. 1-7
Author(s):  
Min-Ku Lee ◽  
Kyu-Hwan Jang
Keyword(s):  
Differential Equation ◽  
Partial Differential Equation ◽  
Stochastic Volatility ◽  
Stochastic Volatility Model ◽  
Barrier Options ◽  
Barrier Option ◽  
Partial Differential ◽  
Model Based ◽  
Volatility Model ◽  
Black Scholes

We study the pricing of a Parisian option under a stochastic volatility model. Based on the manipulation problem that barrier options might create near barriers, the Parisian option has been designed as an extended barrier option. A stochastic volatility correction to the Black-Scholes price of the Parisian option is obtained in a partial differential equation form and the solution is characterized numerically.

Sign in / Sign up

Export Citation Format

Share Document