Pricing digital outperformance options with uncertain correlation

DOI10.1142/S0219024911006425MaRDI QIDQ3094328zbMATH OpenOpenAlexFDO

Authors Jacinto Marabel Romo

Publication date 24 October 2011

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024911006425

zbMATH Keywords

cross-gammadigital outperformance optionsuncertain correlation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Ergodic Property of the Brownian Motion Process
• scientific article; zbMATH DE number 1253576 (Why is no real title available?)
• Paul Wilmott on quantitative finance. 3 Vols. With CD-ROM
• The pricing of options and corporate liabilities

Cited in

(2)

• A closed-form solution for outperformance options with stochastic correlation and stochastic volatility
• WORST-OF OPTIONS AND CORRELATION SKEW UNDER A STOCHASTIC CORRELATION FRAMEWORK

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