Foreign Exchange Derivative Pricing with Stochastic Correlation
نویسندگان
چکیده
منابع مشابه
Pricing Foreign Equity Options with Stochastic Correlation and Volatility
A new class of foreign equity option pricing model is suggested that not only allows for the volatility but also for the correlation coefficient to vary stochastically over time. A modified Jacobi process is proposed to evaluate risk premium of the stochastic correlation, and a partial differential equation to price the correlation risk for the foreign equity has been set up, whose solution has...
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ژورنال
عنوان ژورنال: Journal of Mathematical Finance
سال: 2016
ISSN: 2162-2434,2162-2442
DOI: 10.4236/jmf.2016.65059