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Pricing American options in the Heston model : a close look at incorporating correlation
Ruckdeschel, Peter; Sayer, Tilman; Szimayer, Alexander - In: The journal of derivatives : the official publication … 20 (2012) 3, pp. 9-29
Persistent link: https://www.econbiz.de/10009725351
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Pricing American options in the Heston model : a close look on incorporating correlation
Ruckdeschel, Peter; Sayer, Tilman; Szimayer, Alexander - 2011
Persistent link: https://www.econbiz.de/10009688311
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Estimating correlated jumps and stochastic volatilities
Witzany, Jiří - In: Prague economic papers : a bimonthly journal of … 22 (2013) 2, pp. 251-283
Persistent link: https://www.econbiz.de/10010226453
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European options sensitivity with respect to the correlation for multidimensional Heston models
Abbas-Turki, Lokman A.; Lamberton, Damien - In: International journal of theoretical and applied finance 17 (2014) 3, pp. 1-36
Persistent link: https://www.econbiz.de/10010364767
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On moment non-explosions for Wishart-based stochastic volatility models
Fonseca, José da - In: European journal of operational research : EJOR 254 (2016) 3, pp. 889-894
Persistent link: https://www.econbiz.de/10011521879
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Basket option pricing and implied correlation in a Lévy copula model
Linders, Daniël; Schoutens, Wim - 2014
Persistent link: https://www.econbiz.de/10010422208
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Closed-form pricing of two-asset barrier options with stochastic covariance
Götz, Barbara; Escobar, Marcos; Zagst, Rudi - In: Applied mathematical finance 21 (2014) 3/4, pp. 363-397
Persistent link: https://www.econbiz.de/10010499671
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Stochastic correlation and volatility mean-reversion : empirical motivation and derivatives pricing via perturbation theory
Escobar, Marcos; Götz, Barbara; Neykova, Daniela; … - In: Applied mathematical finance 21 (2014) 5/6, pp. 555-594
Persistent link: https://www.econbiz.de/10010500871
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On cross-currency models with stochastic volatility and correlated interest rates
Grzelak, Lech A.; Oosterlee, Cornelis W. - In: Applied mathematical finance 19 (2012) 1/2, pp. 1-35
Persistent link: https://www.econbiz.de/10009561244
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Worst-of options and correlation skew under a stochastic correlation framework
Romo, Jacinto Marabel - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-32
Persistent link: https://www.econbiz.de/10009685884