Option pricing when correlations are stochastic: an analytical framework
Year of publication: |
2007
|
---|---|
Authors: | Fonseca, José ; Grasselli, Martino ; Tebaldi, Claudio |
Published in: |
Review of Derivatives Research. - Springer. - Vol. 10.2007, 2, p. 151-180
|
Publisher: |
Springer |
Subject: | Wishart processes | Best-of basket option | Stochastic correlation | FFT |
-
Keep on smiling? The pricing of Quanto options when all covariances are stochastic
Branger, Nicole, (2012)
-
Gnoatto, Alessandro, (2012)
-
Simple simulation schemes for CIR and Wishart processes
Baldi, Paolo, (2013)
- More ...
-
Bond price and impulse response function for the Balduzzi, Das, Foresi and Sundaram (1996) model
Grasselli, Martino, (2004)
-
Option pricing when correlations are stochastic : an analytical framework
Fonseca, José da, (2007)
-
Stochastic Jacobian and Riccati ODE in affine term structure models
Grasselli, Martino, (2007)
- More ...