Kim, Young Shin; Kim, Hyangju; Choi, Jaehyung; Fabozzi, … - 2021
We present a new model of normal tempered stable (NTS) processes with stochastic correlation for multi-asset option …, kurtosis, skewness, and stochastic correlation, multi-asset option pricing is one of the various applications. In particular …, we discuss its application to quanto option pricing as a bivariate example and derive its closed-form solution under the …