Similar Search Results

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

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

Valuing variable annuity guarantees on multiple assets

Fonseca, José da; Ziveyi, Jonathan - In: Scandinavian actuarial journal (2017) 3, pp. 209-230

Persistent link: https://www.econbiz.de/10011772102

Increased correlation among asset classes : Are volatility or jumps to blame, or both?

Aït-Sahalia, Yacine; Xiu, Dacheng - In: Journal of econometrics 194 (2016) 2, pp. 205-219

Persistent link: https://www.econbiz.de/10011705106

Variance swaps with deterministic and stochastic correlations

Han, Ah-Reum; Kim, Jeong-Hoon; Kim, See-Woo - In: Computational economics 57 (2021) 4, pp. 1059-1092

Persistent link: https://www.econbiz.de/10012543256

Pricing power exchange options with correlated jump risk

Wang, Xingchun - In: Finance research letters 19 (2016), pp. 90-97

Persistent link: https://www.econbiz.de/10011657466

Foreign exchange derivative pricing with stochastic correlation

Nabirye, Topilista; Ngare, Philip; Mungatu, Joseph - In: Journal of mathematical finance 6 (2016) 5, pp. 887-899

Persistent link: https://www.econbiz.de/10011658109

Orthogonal polynomial expansions for the valuation of options under the stochastic volatility models with stochastic correlation

Tong, Kevin Z. - In: Journal of management science and engineering 9 (2024) 2, pp. 239-253

stochastic correlation. Our method is based on the observation that the generalized models belong to the class of polynomial … and Schöbel-Zhu models with stochastic correlation as two specific examples and are able to derive the analytical formulas …

Persistent link: https://www.econbiz.de/10014632198

Generalized mean-reverting 4/2 Factor Model

Cheng, Yuyang; Escobar, Marcos; Gong, Zhenxian - In: Journal of risk and financial management : JRFM 12 (2019) 4/159, pp. 121

This paper proposes and investigates a multivariate 4/2 Factor Model. The name 4/2 comes from the superposition of a CIR term and a 3/2-model component. Our model goes multidimensional along the lines of a principal component and factor covariance decomposition. We find conditions for...

Persistent link: https://www.econbiz.de/10012172988

Pricing exchange options under stochastic correlation

Villamor, Enrique; Olivares, Pablo - In: The North American journal of economics and finance : a … 73 (2024), pp. 1-17

Persistent link: https://www.econbiz.de/10014580764