Correction to: Semi-analytical prices for lookback and barrier options under the Heston model

Luca De Gennaro; Carole Bernard

doi:10.1007/s10203-021-00360-9

Correction to: Semi-analytical prices for lookback and barrier options under the Heston model

Luca De Gennaro, Carole Bernard

Business

Research output: Contribution to journal › Article › peer-review

Abstract

In this note, we point out a mistake in Theorem 1 of De De Gennaro Aquino and Bernard (Decis Econ Finance 42(2):715–741, 2019) and provide some missing references where the problem of pricing barrier options under the Heston model had previously been discussed.

Translated title of the contribution	Correction to: Semi-analytical prices for lookback and barrier options under the Heston model
Original language	English
Article number	45
Pages (from-to)	447-449
Number of pages <span style="color:red"p> <font size="1.5"> ✽ </span> </font>	3
Journal	Decisions in Economics and Finance
Volume	45
Issue number	1
DOIs	https://doi.org/10.1007/s10203-021-00360-9
Publication status	Published - 1 Jan 2022

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Cite this

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abstract = "In this note, we point out a mistake in Theorem 1 of De De Gennaro Aquino and Bernard (Decis Econ Finance 42(2):715–741, 2019) and provide some missing references where the problem of pricing barrier options under the Heston model had previously been discussed.",

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Correction to: Semi-analytical prices for lookback and barrier options under the Heston model

Abstract

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FWOODYS11: Quantitative Risk Management under Scenario Constraints: Risk aggregation, Dependence, and Systemic risk

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Correction to: Semi-analytical prices for lookback and barrier options under the Heston model

Abstract

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FWOODYS11: Quantitative Risk Management under Scenario Constraints: Risk aggregation, Dependence, and Systemic risk

Cite this