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Persistent link: https://www.econbiz.de/10014231123
We present a new model of normal tempered stable (NTS) processes with stochastic correlation for multi-asset option pricing. The model is constructed by extending the constant correlation term in the NTS model to the stochastic correlation making use of the Ornstein-Uhlenbeck process. As the...
Persistent link: https://www.econbiz.de/10013211835