Quanto pricing in stochastic correlation models
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A novel pricing method for European options based on Fourier-cosine series expansions
- A square root process for modelling correlation.
- A versatile approach for stochastic correlation using hyperbolic functions
- Affine processes and applications in finance
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- Mathematics of financial markets.
- On the Heston model with stochastic correlation
- Partial differential equation pricing of contingent claims under stochastic correlation
- Paul Wilmott on quantitative finance. 3 Vols. With CD-ROM
- Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
- The pricing of options and corporate liabilities
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Wishart processes
Cited in
(22)- A versatile approach for stochastic correlation using hyperbolic functions
- A new methodology to create valid time-dependent correlation matrices via isospectral flows
- On the Heston model with stochastic correlation
- Exchange option pricing under stochastic volatility: a correlation expansion
- Quantum spatial-periodic harmonic model for daily price-limited stock markets
- Pricing two-asset barrier options under stochastic correlation via perturbation
- Merton's equation and the quantum oscillator: pricing risky corporate coupon bonds
- Asymmetry in stochastic volatility models with threshold and time-dependent correlation
- Quanto option pricing in the presence of fat tails and asymmetric dependence
- The pricing of Quanto options under dynamic correlation
- Multivariate FX models with jumps: triangles, quantos and implied correlation
- Pricing quanto reset options in a stochastic volatility model with jump risks
- Pricing of range accrual swap in the quantum finance Libor market model
- A stochastic correlation model with mean reversion for pricing multi-asset options
- A latent process model for the pricing of corporate securities
- Modelling and calibration of stochastic correlation in finance
- Option pricing when correlations are stochastic: an analytical framework
- Price of correlations in stochastic optimization
- Stochastic correlation and volatility mean-reversion -- empirical motivation and derivatives pricing via perturbation theory
- Modelling joint behaviour of asset prices using stochastic correlation
- A square root process for modelling correlation.
- Pricing digital outperformance options with uncertain correlation
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