A versatile approach for stochastic correlation using hyperbolic functions
DOI10.1080/00207160.2014.1002779zbMATH Open1335.91110OpenAlexW2137423618MaRDI QIDQ2804910FDOQ2804910
Authors: Long Teng, Cathrin Van Emmerich, Matthias Ehrhardt, Michael Günther 
Publication date: 6 May 2016
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160.2014.1002779
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Cites Work
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- Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
- Interest rate models -- theory and practice. With smile, inflation and credit
- Counterparty risk for credit default swaps: impact of spread volatility and default correlation
- Paul Wilmott on quantitative finance. 3 Vols. With CD-ROM
- The pricing of Quanto options under dynamic correlation
- Bilateral counterparty risk valuation of CDS contracts with simultaneous defaults
Cited In (11)
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- On the Heston model with stochastic correlation
- Comparison of stochastic correlation models
- Asymmetry in stochastic volatility models with threshold and time-dependent correlation
- The dynamic correlation model and its application to the Heston model
- The pricing of Quanto options under dynamic correlation
- A positive flux limited difference scheme for the uncertain correlation 2D Black-Scholes problem
- Modelling and calibration of stochastic correlation in finance
- Partial differential equation pricing of contingent claims under stochastic correlation
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