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Decisions in Economics and Finance

Erschienen in:

25.05.2019

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

verfasst von: Luca De Gennaro Aquino, Carole Bernard

Erschienen in: Decisions in Economics and Finance | Ausgabe 2/2019

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Abstract

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 minimum value of the underlying asset price over a certain period of time. In particular, we obtain prices of lookback and barrier options in the Heston model, but the methodology applies more generally. By conditioning with respect to the variance path, we obtain pricing formulas that can be related to their counterparts in the Black–Scholes model.

Vorheriger Artikel Model-free stochastic collocation for an arbitrage-free implied volatility: Part I

Nächster Artikel A note on the implied volatility of floating strike Asian options

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Titel: Semi-analytical prices for lookback and barrier options under the Heston model
verfasst von: Luca De Gennaro Aquino
Carole Bernard
Publikationsdatum: 25.05.2019
Verlag: Springer International Publishing
Erschienen in: Decisions in Economics and Finance / Ausgabe 2/2019
Print ISSN: 1593-8883
Elektronische ISSN: 1129-6569
DOI: https://doi.org/10.1007/s10203-019-00254-x

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

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