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Semi-analytical prices for lookback and barrier options under the Heston model |
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| Authors: | De Gennaro Aquino Luca Bernard Carole |
| Affiliation: | 1.Department of Accounting, Law and Finance, Grenoble Ecole de Management, Université Grenoble Alpes ComUE, 12 Rue Pierre Sémard, 38000, Grenoble, France ;2.Department of Economics and Political Sciences, Vrije Universiteit Brussel (VUB), Brussel, Belgium ; |
| Abstract: | Decisions in Economics and Finance - Under the Heston stochastic volatility model, we derive semi-analytical formulas for the prices of path-dependent options with payoffs linked to the maximum or... |
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