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

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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Bibliographic Details
Published in:Decisions in economics and finance 2022-06, Vol.45 (1), p.447-449
Main Authors: De Gennaro Aquino, Luca, Bernard, Carole
Format: Article
Language:English
Subjects:
Correction
Econometrics
Economic Theory/Quantitative Economics/Mathematical Methods
Economics
Economics and Finance
Finance
Management
Operations Research/Decision Theory
Public Finance
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Description
Summary: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.
ISSN:1593-8883
1129-6569
DOI:10.1007/s10203-021-00360-9