In recent years there has been a remarkable growth of multi-asset options. These options exhibit sensitivity to the volatility of the underlying assets, as well as to their correlations. The call versus call is a product commonly used to trade correlation within the inter-dealer broker markets....

In recent years there has been a remarkable growth of volatility options. In particular, VIX options are among the most actively trading contracts at CBOE. These options exhibit upward sloping volatility skew and the shape of the skew is largely independent of the volatility level. To take into...

Outperformance options allow investors to benefit from a view on the relative performance of two underlying assets without taking any directional exposure to the evolution of the market. These structures exhibit high sensitivity to the correlation between the underlying assets and are usually...

This article considers a multi-asset model based on Wishart processes that accounts for stochastic volatility and for stochastic correlations between the underlying assets, as well as between their volatilities. The model accounts for the existence of correlation term structure and correlation...

This article postulates a flexible specification for the implied volatility surface, which accounts for the existence of volatility skew and term structure. I show that it is possible to express the local volatility function in terms of the implied volatility. I then obtain an analytic formula...

Multi-asset options exhibit sensitivity to the correlations between the underlying assets and these correlations are notoriously unstable. Moreover, some of these options such as the digital outperformance options, have a cross-gamma that changes sign depending on the relative evolution of the...

Quanto and composite derivatives exhibit sensitivity to the volatilities of the underlying asset and the exchange rate, as well as to the correlation between the assets returns and their volatilities. This article considers a multiasset model based on Wishart processes that accounts for...

Empirical evidence shows that, in equity options markets, the slope of the skew is largely independent of the volatility level. Single-factor stochastic volatility models are not flexible enough to account for the stochastic behavior of the skew. On the other hand, multifactor stochastic...