The pricing of Quanto options under dynamic correlation (Q457739)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: The pricing of Quanto options under dynamic correlation |
scientific article; zbMATH DE number 6349170
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | The pricing of Quanto options under dynamic correlation |
scientific article; zbMATH DE number 6349170 |
Statements
The pricing of Quanto options under dynamic correlation (English)
0 references
29 September 2014
0 references
quanto options
0 references
dynamic correlation
0 references
hyperbolic tangent
0 references
Black-Scholes equation
0 references
correlation risk
0 references
0.8586742877960205
0 references
0.7937735915184021
0 references
0.7868970036506653
0 references
0.7856458425521851
0 references
