The pricing of Quanto options under dynamic correlation

DOI10.1016/J.CAM.2014.07.017MaRDI QIDQ457739zbMATH OpenOpenAlexFDO

Authors Long Teng, Matthias Ehrhardt, Michael Günther

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

zbMATH Keywords

dynamic correlationBlack-Scholes equationcorrelation riskquanto optionshyperbolic tangent

Mathematics Subject Classification ID

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

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Cites work

• A versatile approach for stochastic correlation using hyperbolic functions
• Paul Wilmott on quantitative finance. 3 Vols. With CD-ROM

Cited in

(20)

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• OPTION PRICING AND HEDGING WITH TEMPORAL CORRELATIONS

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