Option pricing when correlations are stochastic: an analytical framework
| Year of publication: |
2007
|
|---|---|
| Authors: | Fonseca, José ; Grasselli, Martino ; Tebaldi, Claudio |
| Published in: |
Review of Derivatives Research. - Springer. - Vol. 10.2007, 2, p. 151-180
|
| Publisher: |
Springer |
| Subject: | Wishart processes | Best-of basket option | Stochastic correlation | FFT |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005709813