Option pricing when correlations are stochastic: An analytical framework

Review of Derivatives Research

Volumn 10, Issue 2, 2007, Pages 151-180

  Da Fonseca, José ^a,b   Grasselli, Martino ^a,c   Tebaldi, Claudio ^d,e  

^a PÔLE UNIVERSITAIRE LÉONARD DE VINCI   (France)

^b Zeliade Systems   (France)

^c UNIVERSITY OF PADOVA   (Italy)

^d BOCCONI UNIVERSITY   (Italy)

^e UNIVERSITY OF VERONA   (Italy)

Author keywords

Best of basket option; FFT; Stochastic correlation; Wishart processes

Indexed keywords

EID: 41249095007     PISSN: 13806645     EISSN: None     Source Type: Journal    
DOI: 10.1007/s11147-008-9018-x     Document Type: Article

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