Susanne Griebsch

University of Technology, Sydney

Haymarket, Ultimo

PO Box 123

Sydney, NSW 2007

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

5

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CITATIONS
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5

Scholarly Papers (5)

1.

On the Valuation of Fader and Discrete Barrier Options in Heston's Stochastic Volatility Model

Number of pages: 29 Posted: 03 Dec 2008 Last Revised: 16 Dec 2010
Susanne Griebsch and Uwe Wystup
University of Technology, Sydney and MathFinance AG
Downloads 593 (33,338)
Citation 3

Abstract:

Heston model, discrete barrier option, fader option, characteristic function

2.

A Stochastic Approach to the Valuation of Barrier Options in Heston’s Stochastic Volatility Model

Number of pages: 36 Posted: 08 Feb 2012 Last Revised: 27 May 2013
Susanne Griebsch and Kay F. Pilz
University of Technology, Sydney and RIVACON
Downloads 367 (52,098)

Abstract:

Heston model, barrier options, reflection principle

3.

The Evaluation of European Compound Option Prices Under Stochastic Volatility Using Fourier Transform Techniques

Number of pages: 38 Posted: 20 Jan 2012 Last Revised: 26 Feb 2013
Susanne Griebsch
University of Technology, Sydney
Downloads 207 (97,805)
Citation 2

Abstract:

4.

Investigating Time-Efficient Methods to Price Compound Options in the Heston Model

Number of pages: 29 Posted: 26 Feb 2013
Carl Chiarella, Susanne Griebsch and Boda Kang
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology, Sydney and University of York - Department of Mathematics
Downloads 128 (161,047)

Abstract:

5.

Installment Options: A Closed-Form Solution and the Limiting Case

Mathematical Control Theory and Finance, Springer, 2008. Edited by A. Sarychev, A. Shiryaev, M. Guerra, M.R. Grossinho.
Posted: 26 Feb 2013
Susanne Griebsch, Uwe Wystup and Christoph Kühn
University of Technology, Sydney, MathFinance AG and Goethe University Frankfurt

Abstract:

Exotic Options