Stochastic correlation and volatility mean-reversion -- empirical motivation and derivatives pricing via perturbation theory
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Publication:4586319
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Cites work
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Cited in
(15)- A mean-reverting SDE on correlation matrices
- A closed-form solution for outperformance options with stochastic correlation and stochastic volatility
- Option pricing when correlations are stochastic: an analytical framework
- A versatile approach for stochastic correlation using hyperbolic functions
- Pricing Derivatives Incorporating Structural Market Changes and in Time Correlation
- HARA utility maximization in a Markov-switching bond-stock market
- Quanto pricing in stochastic correlation models
- Principal component models with stochastic mean-reverting levels. Pricing and covariance surface improvements
- Modelling and calibration of stochastic correlation in finance
- The dynamic correlation model and its application to the Heston model
- Pricing two-asset barrier options under stochastic correlation via perturbation
- MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES
- A stochastic correlation model with mean reversion for pricing multi-asset options
- Correlations and bounds for stochastic volatility models
- Optimal investment in multidimensional Markov-modulated affine models
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