A stochastic correlation model with mean reversion for pricing multi-asset options

DOI10.1007/s10690-009-9088-2zbMath1170.91390OpenAlexW2009466181MaRDI QIDQ841855

Jun Ma

Publication date: 18 September 2009

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-009-9088-2

zbMATH Keywords

mean reversionmulti-asset optionstochastic correlation

Mathematics Subject Classification ID

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

Related Items (4)

Stocks recommendation from large datasets using important company and economic indicators ⋮ Partial Differential Equation Pricing of Contingent Claims under Stochastic Correlation ⋮ Modelling joint behaviour of asset prices using stochastic correlation ⋮ A positive flux limited difference scheme for the uncertain correlation 2D Black-Scholes problem

Cites Work

• The Pricing of Options and Corporate Liabilities
• The Wishart autoregressive process of multivariate stochastic volatility
• On the efficiency of certain quasi-random sequences of points in evaluating multi-dimensional integrals
• Generalized autoregressive conditional heteroscedasticity
• Option pricing when correlations are stochastic: an analytical framework
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Derivative Pricing With Wishart Multivariate Stochastic Volatility
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