Modelling and Calibration of Stochastic Correlation in Finance

DOI10.1007/978-3-319-61282-9_6zbMath1420.91479OpenAlexW2755254114MaRDI QIDQ4626495

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Publication date: 28 February 2019

Published in: Novel Methods in Computational Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-61282-9_6

zbMATH Keywords

stochastic correlationQuanto option pricing

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Uses Software

• QRM

Cites Work

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