Pricing exchange options under stochastic correlation
Enrique Villamor, Pablo Olivares
| Year of publication: |
2024
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|---|---|
| Authors: | Villamor, Enrique ; Olivares, Pablo |
| Published in: |
The North American journal of economics and finance : a journal of theory and practice. - Amsterdam [u.a.] : Elsevier Science, ISSN 1062-9408, ZDB-ID 2023759-5. - Vol. 73.2024, Art.-No. 102153, p. 1-17
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| Subject: | Exchange options | Ornstein-Uhlenbeck process | Stochastic correlation | Taylor expansion | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Korrelation | Correlation | Volatilität | Volatility |
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