Semi-analytical prices for lookback and barrier options under the Heston model (vol 42, pg 715, 2019)

被引：0
|
作者：
De Gennaro Aquino, Luca [1 ]
Bernard, Carole [1 ,2 ]
机构：
[1] Grenoble Ecole Management, Dept Accounting Law & Finance, 12 Rue Pierre Semard, F-38000 Grenoble, France
[2] Vrije Univ Brussel VUB, Dept Econ & Polit Sci, Brussels, Belgium
来源：
DECISIONS IN ECONOMICS AND FINANCE | 2022年 / 45卷 / 01期
关键词：
Derivatives pricing; Lookback options; Barrier options; Path-dependent options; Heston model; Stochastic volatility;
D O I：
10.1007/s10203-021-00360-9
中图分类号：
O1 [数学]; C [社会科学总论];
学科分类号：
03 ; 0303 ; 0701 ; 070101 ;
摘要：
In this note, we point out a mistake in Theorem 1 of De De Gennaro Aquino and Bernard (Decis Econ Finance 42(2):715-741, 2019) and provide some missing references where the problem of pricing barrier options under the Heston model had previously been discussed.
引用
收藏
页码：447 / 449
页数：3
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