Keep on smiling? : the pricing of Quanto options when all covariances are stochastic
Year of publication: |
2012
|
---|---|
Authors: | Branger, Nicole ; Muck, Matthias |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 36.2012, 6, p. 1577-1591
|
Subject: | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility |
-
Improving the term structure of interest rates : two-factor models
Gómez-Valle, Lourdes, (2010)
-
Modeling and valuation of energy structures : analylsis., econometrics, and numerics
Mahoney, Daniel, (2016)
-
Option smiling when investors' estimates of asset volatility disagree
Lin, Chien-chih, (2014)
- More ...
-
Correlation risk and international portfolio choice
Branger, Nicole, (2018)
-
Correlation Risk and International Portfolio Choice
Branger, Nicole, (2018)
-
Optimal Portfolios when Variances and Covariances can Jump
Branger, Nicole, (2017)
- More ...