We propose a simple but rigorous stochastic volatility – stochastic correlation model, formulated as a pair of … correlation. When risk factors estimated from derivatives markets are accounted for, we show the model out-performance over GBM is …

exhibit stochastic correlation, with an emphasis on computation. We derive a multi-dimensional time-dependent PDE for the …

The aim of the paper is to incorporate a stochastic correlation structure when pricing FX quanto options under the … assuming that the correlation between the underlying asset and its variance process is stochastic (and the same between the … exchange rate and its variance process), but also assuming a stochastic correlation between the underlying asset and the …

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 …

, as well as to the correlation between the assets returns and their volatilities. This article considers a multiasset … multiasset stochastic volatility model with constant instantaneous correlations shows the existence of a stochastic correlation …

correlation can be generated in Wishart-based stochastic volatility models proposed by Gourieroux (2006) and da Fonseca et al …. (2007) and confirm that temporal changes in conditional correlation are absolutely necessary to explain the variations in … spread options prices across time: average relative pricing error increases from 5\% to 32\% when the correlation state …

how our newly designed basket option pricing formula can be used to define implied Lévy correlation by matching model and … market prices for basket options. Our main finding is that the implied Lévy correlation smile is flatter than its Gaussian … counterpart. Furthermore, if (near) at-the-money option prices are used, the corresponding implied Gaussian correlation estimate …