Dr Susanne Griebsch
Postdoctoral Fellow, Finance
PhD
Email: Susanne.Griebsch@uts.edu.au
Phone: +61 2 9514 7782
Fax: +61 2 9514 7711
Room: CM05D.03.05 (map)
Mailing address: PO Box 123,
Broadway NSW 2007,
Australia
Biography
Susanne joined the School in August 2008 as a Post Doctoral Research Fellow.
Research
Research interests
Stochastic volatility modelling, Exotic options, Numerical methods in finance.
Publications
Refereed journal articles
Griebsch, S., Wystup, U. 2011, 'On the valuation of fader and discrete barrier options in Heston's stochastic volatility model', Quantitative Finance, vol. 11, no. 5, pp. 693-709.
View/Download from: UTSePress | Publisher's site
View description>>
We focus on closed-form option pricing in Heston+s stochastic volatility model, where closedform formulas exist only for a few option types. Most of these closed-form solutions are constructed from characteristic functions. We follow this closed-form approach and derive multivariate characteristic functions depending on at least two spot values for different points in time. The derived characteristic functions are used as building blocks to set up (semi-) analytical pricing formulas for exotic options with payoffs depending on finitely many spot values such as fader options and discretely monitored barrier options. We compare our result with different numerical methods and examine the computational accuracy.
