Correction to : Semi-analytical prices for lookback and barrier options under the Heston model (Decisions in Economics and Finance, (2019), 42, 2, (715-741), 10.1007/s10203-019-00254-x)
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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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Publisher Copyright: © 2021, The Author(s), under exclusive licence to Associazione per la Matematica Applicata alle Scienze Economiche e Sociali (AMASES).
Efnisorð
Barrier options, Derivatives pricing, Heston model, Lookback options, Path-dependent options, Stochastic volatility, Finance, General Economics,Econometrics and Finance
Citation
De Gennaro Aquino, L & Bernard, C 2022, 'Correction to : Semi-analytical prices for lookback and barrier options under the Heston model (Decisions in Economics and Finance, (2019), 42, 2, (715-741), 10.1007/s10203-019-00254-x)', Decisions in Economics and Finance, vol. 45, no. 1, pp. 447-449. https://doi.org/10.1007/s10203-021-00360-9