Embedding stochastic correlation into the pricing of FX quanto options under stochastic volatility models
Year of publication: |
2019
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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
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Subject: | Stochastic Correlation Processes | Stochastic Volatility Models | Characteristic Function | FX Derivatives Pricing | Quanto Options | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Derivat | Derivative | Korrelation | Correlation |
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