The pricing of Quanto options under dynamic correlation
From MaRDI portal
Publication:457739
DOI10.1016/j.cam.2014.07.017zbMath1297.91138MaRDI QIDQ457739
J. Herrera, D. Rodríguez-Gómez
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
91G60: Numerical methods (including Monte Carlo methods)
91G20: Derivative securities (option pricing, hedging, etc.)