The pricing of Quanto options under dynamic correlation

DOI10.1016/J.CAM.2014.07.017zbMATH Open1297.91138OpenAlexW2026288547MaRDI QIDQ457739FDOQ457739

Authors: Long Teng, Matthias Ehrhardt, Michael Günther 

Publication date: 29 September 2014

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2014.07.017

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zbMATH Keywords

dynamic correlationBlack-Scholes equationcorrelation riskquanto optionshyperbolic tangent

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Cites Work

• Paul Wilmott on quantitative finance. 3 Vols. With CD-ROM
• A versatile approach for stochastic correlation using hyperbolic functions

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