QUANTO PRICING IN STOCHASTIC CORRELATION MODELS

DOI10.1142/S0219024918500383zbMath1396.91765OpenAlexW2887184405MaRDI QIDQ4584705

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Publication date: 4 September 2018

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

Full work available at URL: https://doi.org/10.1142/s0219024918500383

zbMATH Keywords

characteristic functioncorrelation riskquanto optionstochastic correlation process

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Asymmetry in stochastic volatility models with threshold and time-dependent correlation ⋮ A new methodology to create valid time-dependent correlation matrices via isospectral flows ⋮ Modelling and Calibration of Stochastic Correlation in Finance

Cites Work

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• Partial Differential Equation Pricing of Contingent Claims under Stochastic Correlation
• Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
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