Quanto pricing in stochastic correlation models

DOI10.1142/S0219024918500383zbMATH Open1396.91765OpenAlexW2887184405MaRDI QIDQ4584705FDOQ4584705

Authors:

Publication date: 4 September 2018

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

Full work available at URL: https://doi.org/10.1142/s0219024918500383

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zbMATH Keywords

characteristic functioncorrelation riskquanto optionstochastic correlation process

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Diffusion processes (60J60)

Cites Work

• The pricing of options and corporate liabilities
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• A novel pricing method for European options based on Fourier-cosine series expansions
• Affine processes and applications in finance
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Wishart processes
• Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
• Mathematics of financial markets.
• On the Heston model with stochastic correlation
• Paul Wilmott on quantitative finance. 3 Vols. With CD-ROM
• A versatile approach for stochastic correlation using hyperbolic functions
• A square root process for modelling correlation.
• Partial Differential Equation Pricing of Contingent Claims under Stochastic Correlation

Cited In (13)

• Modelling and Calibration of Stochastic Correlation in Finance
• Exchange option pricing under stochastic volatility: a correlation expansion
• Quantum spatial-periodic harmonic model for daily price-limited stock markets
• Merton's equation and the quantum oscillator: pricing risky corporate coupon bonds
• Asymmetry in stochastic volatility models with threshold and time-dependent correlation
• Pricing of range accrual swap in the quantum finance Libor market model
• A stochastic correlation model with mean reversion for pricing multi-asset options
• Option pricing when correlations are stochastic: an analytical framework
• A latent process model for the pricing of corporate securities
• Price of correlations in stochastic optimization
• A new methodology to create valid time-dependent correlation matrices via isospectral flows
• Modelling joint behaviour of asset prices using stochastic correlation
• A square root process for modelling correlation.

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