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Applied Mathematical Finance Volume 21, 2014 - Issue 4
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Original Articles

Closed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance

Barbara GötzTechnische Universität München, Germany
,
Marcos EscobarDepartment of Mathematics, Ryerson University, 350 Victoria St., Toronto, OntarioM5B 2K3, CanadaCorrespondence[email protected]
&
Rudi ZagstHVB Institute for Mathematical Finance, Technische Universität München, Germany
Pages 363-397 | Received 04 Jul 2012, Accepted 02 Dec 2013, Published online: 31 Jan 2014

Citations (6)

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Barbara Goetz, Marcos Escobar & Rudi Zagst. (2017) Two asset-barrier option under stochastic volatility. Applied Mathematical Finance 24:6, pages 520-546.
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Articles from other publishers (5)

Marcos Escobar, Mirco Mahlstedt, Sven Panz & Rudi Zagst. (2017) Vulnerable Exotic Derivatives. The Journal of Derivatives 24:3, pages 84-102.
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Marcos Escobar, Mirco Mahlstedt, Sven Panz & Rudi Zagst. (2017) Vulnerable Exotic Derivatives. The Journal of Derivatives.
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Marcos Escobar & Sven Panz. (2016) A Note on the Impact of Parameter Uncertainty on Barrier Derivatives. Risks 4:4, pages 35.
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MARCOS ESCOBAR, BARBARA GÖTZ, DANIELA NEYKOVA & RUDI ZAGST. (2015) PRICING TWO-ASSET BARRIER OPTIONS UNDER STOCHASTIC CORRELATION VIA PERTURBATION. International Journal of Theoretical and Applied Finance 18:03, pages 1550018.
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Marcos Escobar & Julio Hernandez. (2014) A Note on the Distribution of Multivariate Brownian Extrema. International Journal of Stochastic Analysis 2014, pages 1-6.
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