Pricing exchange options under stochastic correlation
Enrique Villamor, Pablo Olivares
| Year of publication: |
2024
|
|---|---|
| Authors: | Villamor, Enrique ; Olivares, Pablo |
| Subject: | Exchange options | Ornstein-Uhlenbeck process | Stochastic correlation | Taylor expansion | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Korrelation | Correlation |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2024.102153 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014580764