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

Luca Gennaro Aquino () and Carole Bernard ()
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Luca Gennaro Aquino: Grenoble Ecole de Management
Carole Bernard: Grenoble Ecole de Management

Decisions in Economics and Finance, 2022, vol. 45, issue 1, No 16, 447-449

Abstract: 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.

Keywords: Derivatives pricing; Lookback options; Barrier options; Path-dependent options; Heston model; Stochastic volatility (search for similar items in EconPapers)
JEL-codes: C65 G13 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s10203-021-00360-9

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