Quanto pricing in stochastic correlation models (Q4584705)
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scientific article; zbMATH DE number 6931445
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| English | Quanto pricing in stochastic correlation models |
scientific article; zbMATH DE number 6931445 |
Statements
QUANTO PRICING IN STOCHASTIC CORRELATION MODELS (English)
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4 September 2018
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quanto option
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correlation risk
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stochastic correlation process
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characteristic function
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0.8586742877960205
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0.8573894500732422
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0.841068685054779
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0.8340294361114502
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