Option pricing - Putting the smile back on the face of derivatives - Cross-asset quadratic Gaussian models have been limited in the scale of their implementation by the difficulty in ensuring the correct drift conditions to omit arbitrage. Here, the author shows how to exploit the symmetries of the functional form to solve this, and implements the model to price cliquets in the presence of ...
| Year of publication: |
2010
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| Authors: | Scipioni, Antonio ; Mastrobuono, Michele ; Mazzi, Anna ; Manzardo, Alessandro |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 23.2010, 1, p. 117-124
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