Quanto pricing in stochastic correlation models
Long Teng, Matthias Ehrhardt and Michael Günther
| Year of publication: |
August 2018
|
|---|---|
| Authors: | Teng, Long ; Ehrhardt, Matthias ; Günther, Michael |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 21.2018, 5, p. 1-20
|
| Subject: | Quanto option | correlation risk | stochastic correlation process | characteristic function | Korrelation | Correlation | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024918500383 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011903766