Valuation of FX barrier options under stochastic volatility

Asia-Pacific Financial Markets

Volumn 3, Issue 3, 1996, Pages 195-215

  Heath, David ^a   Platen, Eckhard ^a  

^a AUSTRALIAN NATIONAL UNIVERSITY   (Australia)

Author keywords

Barrier options; Monte Carlo simulation, variance reduction; Stochastic volatility

Indexed keywords

EID: 28844486892     PISSN: 13872834     EISSN: None     Source Type: Journal    
DOI: 10.1007/bf02425801     Document Type: Article

References (19)

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