Pricing Barrier Options in the Heston Model using the Heath-Platen Estimator


Both barrier options and the Heston stochastic volatility model are omnipresent in real-life applications of financial mathematics. Therefore, we apply the Heath-Platen (HP) estimator (as first introduced in D. Heath and E.... [ view full abstract ]


  1. Sema Coskun (University of Kaiserslautern)
  2. Ralf Korn (University of Kaiserslautern)

Topic Areas

Numerical Methods , Options , Stochastic Volatility


TH-A-EM » Numerics, PDEs and Option Pricing (11:30 - Thursday, 19th July, Emmet)

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