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Mean-variance hedging and optimal investment in Heston's model with correlation
Černý, Aleš; Kallsen, Jan - In: Mathematical finance : an international journal of … 18 (2008) 3, pp. 473-492
Persistent link: https://www.econbiz.de/10003752317
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On the Heston model with stochastic correlation
Teng, Long; Ehrhardt, Matthias; Günther, Michael - In: International journal of theoretical and applied finance 19 (2016) 6, pp. 1-25
Persistent link: https://www.econbiz.de/10011572381
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Calibration of local correlation models to basket smiles
Guyon, Julien - In: The journal of computational finance 21 (2017) 1, pp. 1-51
Persistent link: https://www.econbiz.de/10011691606
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A stochastic correlation model with time change for pricing credit spread options
Tong, Zhigang; Liu, Allen - In: Journal of mathematical finance 7 (2017) 2, pp. 445-466
Persistent link: https://www.econbiz.de/10011673996
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Spread term structure and default correlation
Gagliardini, Patrick; Gouriéroux, Christian - In: Annals of economics and statistics 123/124 (2016), pp. 175-223
Persistent link: https://www.econbiz.de/10011592744
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Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps
Itkin, Andrey - In: Applied mathematical finance 24 (2017) 5/6, pp. 485-519
Persistent link: https://www.econbiz.de/10011815291
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Quanto pricing in stochastic correlation models
Teng, Long; Ehrhardt, Matthias; Günther, Michael - In: International journal of theoretical and applied finance 21 (2018) 5, pp. 1-20
Persistent link: https://www.econbiz.de/10011903766
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Optimal portfolios when variances and covariances can jump
Branger, Nicole; Muck, Matthias; Seifried, Frank Thomas; … - In: Journal of economic dynamics & control 85 (2017), pp. 59-89
Persistent link: https://www.econbiz.de/10011919303
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Stochastic covariance and dimension reduction in the pricing of basket options
Escobar, Marcos; Krause, Daniel; Zagst, Rudi - In: Review of derivatives research 19 (2016) 3, pp. 165-200
Persistent link: https://www.econbiz.de/10011927967
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Embedding stochastic correlation into the pricing of FX quanto options under stochastic volatility models
Pellegrino, Tommaso - In: Journal of mathematical finance 9 (2019) 3, pp. 455-493
Persistent link: https://www.econbiz.de/10012210363