The pricing of Quanto options under dynamic correlation

DOI10.1016/j.cam.2014.07.017zbMath1297.91138OpenAlexW2026288547MaRDI QIDQ457739

J. Herrera, D. Rodríguez-Gómez

Publication date: 29 September 2014

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2014.07.017

zbMATH Keywords

Black-Scholes equationcorrelation riskquanto optionsdynamic correlationhyperbolic tangent

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (8)

Robustness analysis on the pricing of some options on two assets with delays ⋮ Quanto option pricing with a jump diffusion process ⋮ Asymmetry in stochastic volatility models with threshold and time-dependent correlation ⋮ A new methodology to create valid time-dependent correlation matrices via isospectral flows ⋮ Pricing Quanto Options in Renewable Energy Markets ⋮ Editorial: Recent trends on computational and mathematical methods in science and engineering (CMMSE) ⋮ A versatile approach for stochastic correlation using hyperbolic functions ⋮ The numerical simulation of Quanto option prices using Bayesian statistical methods

Cites Work

• A versatile approach for stochastic correlation using hyperbolic functions
• Unnamed Item

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