Embedding stochastic correlation into the pricing of FX quanto options under stochastic volatility models
Tommaso Pellegrino
| Year of publication: |
2019
|
|---|---|
| Authors: | Pellegrino, Tommaso |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 9.2019, 3, p. 455-493
|
| Subject: | Stochastic Correlation Processes | Stochastic Volatility Models | Characteristic Function | FX Derivatives Pricing | Quanto Options | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Korrelation | Correlation | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.4236/jmf.2019.93025 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012210363