WORST-OF OPTIONS AND CORRELATION SKEW UNDER A STOCHASTIC CORRELATION FRAMEWORK
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Publication:4902547
DOI10.1142/S0219024912500513zbMath1282.91342MaRDI QIDQ4902547
Publication date: 16 January 2013
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
stochastic volatility; stochastic correlation; Wishart process; worst-of options; forward-start options; skew of correlation
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G20: Derivative securities (option pricing, hedging, etc.)
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