PRICING DIGITAL OUTPERFORMANCE OPTIONS WITH UNCERTAIN CORRELATION

DOI10.1142/S0219024911006425zbMath1282.91341OpenAlexW3123378417MaRDI QIDQ3094328

Jacinto Marabel Romo

Publication date: 24 October 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024911006425

zbMATH Keywords

cross-gammadigital outperformance optionsuncertain correlation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

WORST-OF OPTIONS AND CORRELATION SKEW UNDER A STOCHASTIC CORRELATION FRAMEWORK

Cites Work

• The Pricing of Options and Corporate Liabilities
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Ergodic Property of the Brownian Motion Process
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