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- W2152342393 abstract "We focus on closed-form option pricing in Heston's stochastic volatility model, where closed-form 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." @default.
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- W2152342393 date "2011-05-01" @default.
- W2152342393 modified "2023-09-24" @default.
- W2152342393 title "On the valuation of fader and discrete barrier options in Heston's stochastic volatility model" @default.
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- W2152342393 doi "https://doi.org/10.1080/14697688.2010.503375" @default.
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