existence of correlation term structure and correlation skew. The article shows that the Wishart specification can generate … different patterns corresponding to the correlation skew for a wide range of correlation term structures.Another advantage of … correlation premium and show that the consideration of stochastic correlation is a key element for the valuation of these …

marginal tree moments up to order two against the Heston model ones. The correlation between the driving Brownian motions is … the match between tree and model correlation. In some nodes, we are even able to further match moments of higher order …

correlation between the underlying assets and are usually priced assuming constant instantaneous correlations.This article … depends crucially on the term structure of the correlation corresponding to the assets returns. Furthermore, the comparison of … institutions reveals the existence of a stochastic correlation premium …

smiles and correlation smiles. At first sight, the task seems formidable. However, by reformulating the problem, we can …

the required correlation between the Brownian motions and we show how to correct for this. Pairwise tests illustrate the …

Implied correlation, jointly extracted from index and stock options, is a robust predictor of long-term market returns …

outperformance options when there is uncertainty about correlation, but it is assumed to lie within a certain range. Under the … expression for the price of the digital outperformance option under the constant correlation assumption, as well as the partial … differential equation corresponding to the uncertain correlation model. The comparison of the prices obtained using both models …