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Pricing barrier options in the Heston model using the Heath–Platen estimator
| Content Provider | Scilit |
|---|---|
| Author | Coskun, Sema Korn, Ralf |
| Copyright Year | 2018 |
| Abstract | Both barrier options and the Heston stochastic volatility model are omnipresent in real-life applications of financial mathematics. In this paper, we apply the Heath–Platen (HP) estimator (as first introduced by Heath and Platen in [12]) to price barrier options in the Heston model setting as an alternative to conventional Monte Carlo methods and PDE based methods. We demonstrate the superior performance of the HP estimator via numerical examples and explain this performance by a detailed look at the underlying theoretical concept of the HP estimator. |
| Related Links | http://www.degruyter.com/downloadpdf/j/mcma.ahead-of-print/mcma-2018-0004/mcma-2018-0004.xml |
| Ending Page | 41 |
| Page Count | 13 |
| Starting Page | 29 |
| ISSN | 09299629 |
| e-ISSN | 15693961 |
| DOI | 10.1515/mcma-2018-0004 |
| Journal | Monte Carlo Methods and Applications |
| Issue Number | 1 |
| Volume Number | 24 |
| Language | English |
| Publisher | Walter de Gruyter GmbH |
| Publisher Date | 2018-02-01 |
| Access Restriction | Open |
| Subject Keyword | Monte Carlo Methods and Applications Applied Mathematics Barrier Option Pricing Heston Stochastic Volatility Model Heath–platen Estimator Journal: Monte Carlo Methods and Applications, Issue- 3 |
| Content Type | Text |
| Resource Type | Article |
| Subject | Applied Mathematics Statistics and Probability |
