Worst-of Options and Correlation Skew Under a Stochastic Correlation Framework
Year of publication: |
2013
|
---|---|
Authors: | Marabel Romo, Jacinto |
Publisher: |
[2013]: [S.l.] : SSRN |
Subject: | Stochastischer Prozess | Stochastic process | Korrelation | Correlation | Optionspreistheorie | Option pricing theory |
Extent: | 1 Online-Ressource (33 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: International Journal of Theoretical and Applied Finance, Vol. 15, No. 7, 2012 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 6, 2012 erstellt |
Classification: | G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Marabel Romo, Jacinto, (2014)
-
Eberlein, Ernst, (2010)
-
On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates
Grzelak, Lech A., (2014)
- More ...
-
Volatility regimes for the VIX index
Marabel Romo, Jacinto, (2012)
-
Marabel Romo, Jacinto, (2014)
-
Volatility regimes for the VIX index
Marabel Romo, Jacinto, (2012)
- More ...