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

DSpace/Manakin Repository

Search OPUS

Advanced Search


My Account

Show simple item record

dc.contributor.author Griebsch, S
dc.contributor.author Wystup, U
dc.date.accessioned 2012-02-02T11:03:04Z
dc.date.issued 2011-01
dc.identifier.citation Quantitative Finance, 2011, 11 (5), pp. 693 - 709
dc.identifier.issn 1469-7688
dc.identifier.other C1 en_US
dc.identifier.uri http://hdl.handle.net/10453/15796
dc.description.abstract We focus on closed-form option pricing in Hestons stochastic volatility model, where closedform formulas exist only for a few option types. Most of these closed-form solutions are constructed from characteristic functions. We follow this closed-form approach and derive multivariate characteristic functions depending on at least two spot values for different points in time. The derived characteristic functions are used as building blocks to set up (semi-) analytical pricing formulas for exotic options with payoffs depending on finitely many spot values such as fader options and discretely monitored barrier options. We compare our result with different numerical methods and examine the computational accuracy.
dc.publisher Taylor and Francis
dc.relation.isbasedon 10.1080/14697688.2010.503375
dc.title On the valuation of fader and discrete barrier options in Heston's stochastic volatility model
dc.type Journal Article
dc.description.version Published
dc.parent Quantitative Finance
dc.journal.volume 5
dc.journal.volume 11
dc.journal.number 5 en_US
dc.publocation UK en_US
dc.identifier.startpage 693 en_US
dc.identifier.endpage 709 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 150205 Investment and Risk Management
dc.personcode 101517
dc.percentage 100 en_US
dc.classification.name Investment and Risk Management en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords Exotic options; Heston model; Characteristic function; Multidimensional FFT en_US
dc.description.keywords Social Sciences
dc.description.keywords Business
dc.description.keywords Ethics
dc.description.keywords Business & Economics
dc.description.keywords Social Sciences - Other Topics
dc.description.keywords BUSINESS
dc.description.keywords ETHICS
dc.description.keywords ethics in organizations
dc.description.keywords organizational storytelling
dc.description.keywords organizational change
dc.description.keywords narrative
dc.description.keywords downsizing
dc.description.keywords Ricoeur
dc.description.keywords BUSINESS ETHICS
dc.description.keywords IDENTITY
dc.description.keywords NARRATIVES
dc.description.keywords DISCOURSE
dc.description.keywords RESISTANCE
dc.description.keywords JUSTICE
dc.description.keywords Exotic options
dc.description.keywords Heston model
dc.description.keywords Characteristic function
dc.description.keywords Multidimensional FFT
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Business
pubs.organisational-group /University of Technology Sydney/Faculty of Business/Finance
utslib.copyright.status Closed Access
utslib.copyright.date 2015-04-15 12:17:09.805752+10
utslib.collection.history Finance (ID: 371)
utslib.collection.history Closed (ID: 3)

Files in this item

This item appears in the following Collection(s)

Show simple item record