2 papers
q-fin.PR2016
Pricing Weakly Model Dependent Barrier Products
Jan Kuklinski, Panagiotis Papaioannou, Kevin Tyloo
We discuss the pricing methodology for Bonus Certificates and Barrier Reverse-Convertible Structured Products. Pricing for a European barrier condition is straightforward for produ…
q-fin.CP2016
Semi-analytic path integral solution of SABR and Heston equations: pricing Vanilla and Asian options
Jan Kuklinski, Kevin Tyloo
We discuss a semi-analytical method for solving SABR-type equations based on path integrals. In this approach, one set of variables is integrated analytically while the second set…