Worst-of options and correlation skew under a stochastic correlation framework
Jacinto Marabel Romo
| Year of publication: |
2012
|
|---|---|
| Authors: | Romo, Jacinto Marabel |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 15.2012, 7, p. 1-32
|
| Subject: | Wishart process | stochastic volatility | stochastic correlation | skew of correlation | worst-of options | forward-start options | Korrelation | Correlation | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Optionsgeschäft | Option trading | Statistische Verteilung | Statistical distribution |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009685884