Option pricing when correlations are stochastic: an analytical framework
From MaRDI portal
Publication:2425554
DOI10.1007/s11147-008-9018-xzbMath1174.91006OpenAlexW3012274919MaRDI QIDQ2425554
Claudio Tebaldi, José Da Fonseca, Martino Grasselli
Publication date: 6 May 2008
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11147-008-9018-x
Related Items (69)
Long-Term Optimal Investment in Matrix Valued Factor Models ⋮ ON PRICING CONTINGENT CLAIMS UNDER THE DOUBLE HESTON MODEL ⋮ Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps ⋮ The role of the dependence between mortality and interest rates when pricing guaranteed annuity options ⋮ A stochastic correlation model with mean reversion for pricing multi-asset options ⋮ Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes ⋮ Is the information obtained from European options on equally weighted baskets enough to determine the prices of exotic derivatives such as worst-of options? ⋮ A new class of multidimensional Wishart-based hybrid models ⋮ Commodity derivatives pricing with cointegration and stochastic covariances ⋮ On moment non-explosions for Wishart-based stochastic volatility models ⋮ Maximum likelihood estimation for Wishart processes ⋮ Optimal investment under multi-factor stochastic volatility ⋮ Optimal portfolios when variances and covariances can jump ⋮ The Explicit Laplace Transform for the Wishart Process ⋮ High-dimensional limits of eigenvalue distributions for general Wishart process ⋮ Pricing multi-asset American option under Heston-CIR diffusion model with jumps ⋮ A stochastic volatility factor model of heston type. Statistical properties and estimation ⋮ Valuing variable annuity guarantees on multiple assets ⋮ Multivariate COGARCH(1, 1) processes ⋮ Stochastic Correlation and Volatility Mean-reversion– Empirical Motivation and Derivatives Pricing via Perturbation Theory ⋮ A PARSIMONIOUS MULTI-ASSET HESTON MODEL: CALIBRATION AND DERIVATIVE PRICING ⋮ The Laplace transform of the integrated Volterra Wishart process ⋮ Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models ⋮ A consistent stochastic model of the term structure of interest rates for multiple tenors ⋮ Partial Differential Equation Pricing of Contingent Claims under Stochastic Correlation ⋮ Asset prices with investor protection and past information ⋮ Estimating the Wishart affine stochastic correlation model using the empirical characteristic function ⋮ Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps ⋮ Two asset-barrier option under stochastic volatility ⋮ On the existence and uniqueness of the solution to the double Heston model equation and valuing lookback option ⋮ Algorithm 963 ⋮ Matrix Poincaré, Φ-Sobolev inequalities, and quantum ensembles ⋮ Neutral and indifference pricing with stochastic correlation and volatility ⋮ Marginal consistent dependence modelling using weak subordination for Brownian motions ⋮ A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility ⋮ Efficiently pricing double barrier derivatives in stochastic volatility models ⋮ WORST-OF OPTIONS AND CORRELATION SKEW UNDER A STOCHASTIC CORRELATION FRAMEWORK ⋮ The multivariate mixture dynamics model: shifted dynamics and correlation skew ⋮ Optimal Portfolios for Financial Markets with Wishart Volatility ⋮ THE WISHART SHORT RATE MODEL ⋮ Bond pricing under mixed generalized CIR model with mixed Wishart volatility process ⋮ Multivariate FX models with jumps: triangles, quantos and implied correlation ⋮ Pricing of mountain range derivatives under a principal component stochastic volatility model ⋮ Mean-variance portfolio selection with correlation risk ⋮ Fractional Wishart processes and \(\varepsilon\)-fractional Wishart processes with applications ⋮ A NOTE ON THE DAI-SINGLETON CANONICAL REPRESENTATION OF AFFINE TERM STRUCTURE MODELS* ⋮ Affine processes on positive semidefinite matrices ⋮ Discrete time Wishart term structure models ⋮ Explosion time for some Laplace transforms of the Wishart process ⋮ On strong solutions for positive definite jump diffusions ⋮ Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models ⋮ European rainbow option values under the two-asset Merton jump-diffusion model ⋮ Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model ⋮ Pricing range notes within Wishart affine models ⋮ Mean-variance asset-liability management with asset correlation risk and insurance liabilities ⋮ Long-Time Large Deviations for the Multiasset Wishart Stochastic Volatility Model and Option Pricing ⋮ On the application of Wishart process to the pricing of equity derivatives: the multi-asset case ⋮ Making the best of best-of ⋮ Recent advances on eigenvalues of matrix-valued stochastic processes ⋮ HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS ⋮ Calibration and advanced simulation schemes for the Wishart stochastic volatility model ⋮ General closed-form basket option pricing bounds ⋮ The multivariate Variance Gamma model: basket option pricing and calibration ⋮ Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices ⋮ PRICING TWO-ASSET BARRIER OPTIONS UNDER STOCHASTIC CORRELATION VIA PERTURBATION ⋮ Riding on the smiles ⋮ A closed-form solution for outperformance options with stochastic correlation and stochastic volatility ⋮ Order estimates for the exact Lugannani-Rice expansion ⋮ Solving High-Dimensional Optimal Stopping Problems Using Optimization Based Model Order Reduction
Uses Software
Cites Work
- Unnamed Item
- Discrete time Wishart term structure models
- Estimating the Wishart affine stochastic correlation model using the empirical characteristic function
- Wishart processes
- Affine processes and applications in finance
- Two singular diffusion problems
- SOLVABLE AFFINE TERM STRUCTURE MODELS
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Derivative Pricing With Wishart Multivariate Stochastic Volatility
This page was built for publication: Option pricing when correlations are stochastic: an analytical framework
