Worst-of options and correlation skew under a stochastic correlation framework
Year of publication: |
2012
|
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Authors: | Romo, Jacinto Marabel |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 15.2012, 7, p. 1-32
|
Subject: | Wishart process | stochastic volatility | stochastic correlation | skew of correlation | worst-of options | forward-start options | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Korrelation | Correlation | Volatilität | Volatility | Optionsgeschäft | Option trading |
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