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Semi-analytical Prices for Lookback and Barrier Options under the Heston Model. / Aquino De Gennaro, Luca; Bernard, Carole.

In: Decisions in Economics and Finance, Vol. 42, No. 2, 12.2019, p. 715-741.

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Harvard

Aquino De Gennaro, L & Bernard, C 2019, 'Semi-analytical Prices for Lookback and Barrier Options under the Heston Model', Decisions in Economics and Finance, vol. 42, no. 2, pp. 715-741. https://doi.org/10.1007/s10203-019-00254-x

APA

Vancouver

Author

Aquino De Gennaro, Luca ; Bernard, Carole. / Semi-analytical Prices for Lookback and Barrier Options under the Heston Model. In: Decisions in Economics and Finance. 2019 ; Vol. 42, No. 2. pp. 715-741.

BibTeX

@article{40e1d33f4e96429ab3dea52cff4ca8d8,
title = "Semi-analytical Prices for Lookback and Barrier Options under the Heston Model",
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.",
author = "{Aquino De Gennaro}, Luca and Carole Bernard",
year = "2019",
month = "12",
doi = "10.1007/s10203-019-00254-x",
language = "English",
volume = "42",
pages = "715--741",
journal = "Decisions in Economics and Finance",
issn = "1593-8883",
publisher = "Springer-Verlag Italia",
number = "2",

}

RIS

TY - JOUR

T1 - Semi-analytical Prices for Lookback and Barrier Options under the Heston Model

AU - Aquino De Gennaro, Luca

AU - Bernard, Carole

PY - 2019/12

Y1 - 2019/12

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?scp=85067652943&partnerID=8YFLogxK

U2 - 10.1007/s10203-019-00254-x

DO - 10.1007/s10203-019-00254-x

M3 - Article

VL - 42

SP - 715

EP - 741

JO - Decisions in Economics and Finance

JF - Decisions in Economics and Finance

SN - 1593-8883

IS - 2

ER -

ID: 48732967