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

DOI10.1142/S0219024912500513zbMath1282.91342OpenAlexW3122176298MaRDI QIDQ4902547

Jacinto Marabel Romo

Publication date: 16 January 2013

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

Full work available at URL: https://doi.org/10.1142/s0219024912500513

zbMATH Keywords

stochastic volatilitystochastic correlationWishart processworst-of optionsforward-start optionsskew of correlation

Mathematics Subject Classification ID

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

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Uses Software

• Mathematica

Cites Work

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• Wishart processes
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• A multifactor volatility Heston model
• 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