Is the information obtained from European options on equally weighted baskets enough to determine the prices of exotic derivatives such as worst-of options?
Year of publication: |
April 2016
|
---|---|
Authors: | Romo, Jacinto Marabel |
Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 19.2016, 1, p. 65-83
|
Subject: | Stochastic correlation | Stochastic volatility | Multifactor | Worst-of options | Outperformance options | Equally weighted basket options | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Korrelation | Correlation |
-
Worst-of options and correlation skew under a stochastic correlation framework
Romo, Jacinto Marabel, (2012)
-
Exchange options and spread options with stochastically correlated underlyings
Wang, Xingchun, (2022)
-
Pricing two-asset barrier options under stochastic correlation via perturbation
Escobar, Marcos, (2015)
- More ...
-
Investment decisions with financial constraints. Evidence from Spanish firms
Romo, Jacinto Marabel, (2014)
-
The Quanto Adjustment and the Smile
Romo, Jacinto Marabel, (2012)
-
Dynamics of the implied volatility surface. Theory and empirical evidence
Romo, Jacinto Marabel, (2014)
- More ...