Option pricing when correlations are stochastic: an analytical framework

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Cited In (78)

A stochastic volatility factor model of heston type. Statistical properties and estimation
The Laplace transform of the integrated Volterra Wishart process
Solving High-Dimensional Optimal Stopping Problems Using Optimization Based Model Order Reduction
Infinite-dimensional Wishart processes
Efficient pricing and calibration of high-dimensional basket options
ON PRICING CONTINGENT CLAIMS UNDER THE DOUBLE HESTON MODEL
Pricing exchange options under hybrid stochastic volatility and interest rate models
Asset prices with investor protection and past information
A general framework for a joint calibration of VIX and VXX options
Forward starting options pricing under a regime-switching jump-diffusion model with Wishart stochastic volatility and stochastic interest rate
Order estimates for the exact Lugannani-Rice expansion
Mean-variance asset-liability management with asset correlation risk and insurance liabilities
Calibration and advanced simulation schemes for the Wishart stochastic volatility model
The explicit Laplace transform for the Wishart process
The role of the dependence between mortality and interest rates when pricing guaranteed annuity options
HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS
Fractional Wishart processes and \(\varepsilon\)-fractional Wishart processes with applications
European rainbow option values under the two-asset Merton jump-diffusion model
The multivariate Variance Gamma model: basket option pricing and calibration
Partial Differential Equation Pricing of Contingent Claims under Stochastic Correlation
A closed-form solution for outperformance options with stochastic correlation and stochastic volatility
Stochastic Correlation and Volatility Mean-reversion– Empirical Motivation and Derivatives Pricing via Perturbation Theory
Affine processes on positive semidefinite matrices
Option pricing and perfect hedging on correlated stocks
Optimal portfolios when variances and covariances can jump
Marginal consistent dependence modelling using weak subordination for Brownian motions
Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model
Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices
Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps
The multivariate mixture dynamics model: shifted dynamics and correlation skew
Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps
WORST-OF OPTIONS AND CORRELATION SKEW UNDER A STOCHASTIC CORRELATION FRAMEWORK
On strong solutions for positive definite jump diffusions
THE WISHART SHORT RATE MODEL
Discrete time Wishart term structure models
Is the information obtained from European options on equally weighted baskets enough to determine the prices of exotic derivatives such as worst-of options?
Commodity derivatives pricing with cointegration and stochastic covariances
A new class of multidimensional Wishart-based hybrid models
Multivariate FX models with jumps: triangles, quantos and implied correlation
On moment non-explosions for Wishart-based stochastic volatility models
Maximum likelihood estimation for Wishart processes
Multivariate COGARCH(1, 1) processes
A stochastic correlation model with mean reversion for pricing multi-asset options
Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models
Optimal Portfolios for Financial Markets with Wishart Volatility
A NOTE ON THE DAI-SINGLETON CANONICAL REPRESENTATION OF AFFINE TERM STRUCTURE MODELS*
Making the best of best-of
OPTION PRICING AND HEDGING WITH TEMPORAL CORRELATIONS
A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility
Algorithm 963
Matrix Poincaré, Φ-Sobolev inequalities, and quantum ensembles
Price of correlations in stochastic optimization
High-dimensional limits of eigenvalue distributions for general Wishart process
On the application of Wishart process to the pricing of equity derivatives: the multi-asset case
Estimating the Wishart affine stochastic correlation model using the empirical characteristic function
Riding on the smiles
Optimal investment under multi-factor stochastic volatility
Pricing of mountain range derivatives under a principal component stochastic volatility model
Efficiently pricing double barrier derivatives in stochastic volatility models
Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes
Recent advances on eigenvalues of matrix-valued stochastic processes
Explosion time for some Laplace transforms of the Wishart process
Long-Term Optimal Investment in Matrix Valued Factor Models
On the Relation Between Option and Stock Prices: A Convex Optimization Approach
Long-Time Large Deviations for the Multiasset Wishart Stochastic Volatility Model and Option Pricing
A PARSIMONIOUS MULTI-ASSET HESTON MODEL: CALIBRATION AND DERIVATIVE PRICING
Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models
A consistent stochastic model of the term structure of interest rates for multiple tenors
Pricing range notes within Wishart affine models
Mean-variance portfolio selection with correlation risk
PRICING TWO-ASSET BARRIER OPTIONS UNDER STOCHASTIC CORRELATION VIA PERTURBATION
Neutral and indifference pricing with stochastic correlation and volatility
General closed-form basket option pricing bounds
Two asset-barrier option under stochastic volatility
Pricing multi-asset American option under Heston-CIR diffusion model with jumps
On the existence and uniqueness of the solution to the double Heston model equation and valuing lookback option
Bond pricing under mixed generalized CIR model with mixed Wishart volatility process
Valuing variable annuity guarantees on multiple assets

Uses Software

Mathematica

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