Pricing Foreign Equity Options with Stochastic Correlation and Volatility
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References listed on IDEAS
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Cited by:
- Pierre-Edouard Arrouy & Sophian Mehalla & Bernard Lapeyre & Alexandre Boumezoued, 2020. "Jacobi Stochastic Volatility factor for the Libor Market Model," Working Papers hal-02468583, HAL.
- Long Teng & Matthias Ehrhardt & Michael Günther, 2016. "On The Heston Model With Stochastic Correlation," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(06), pages 1-25, September.
- Long Teng & Matthias Ehrhardt & Michael Günther, 2017. "Numerical Simulation of the Heston Model under Stochastic Correlation," IJFS, MDPI, vol. 6(1), pages 1-16, December.
- Pierre-Edouard Arrouy & Alexandre Boumezoued & Bernard Lapeyre & Sophian Mehalla, 2022. "Jacobi stochastic volatility factor for the LIBOR market model," Finance and Stochastics, Springer, vol. 26(4), pages 771-823, October.
- Andrey Itkin, 2017.
"Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps,"
Applied Mathematical Finance, Taylor & Francis Journals, vol. 24(6), pages 485-519, November.
- Andrey Itkin, 2017. "Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps," Papers 1701.02821, arXiv.org, revised Jan 2017.
- Ardian, Aldin & Kumral, Mustafa, 2020. "Incorporating stochastic correlations into mining project evaluation using the Jacobi process," Resources Policy, Elsevier, vol. 65(C).
- Gong, Xiaoli & Zhuang, Xintian, 2017. "Pricing foreign equity option under stochastic volatility tempered stable Lévy processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 483(C), pages 83-93.
- Sun, Qi & Xu, Weidong, 2015. "Pricing foreign equity option with stochastic volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 437(C), pages 89-100.
- Long Teng & Matthias Ehrhardt & Michael Günther, 2018. "Quanto Pricing In Stochastic Correlation Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(05), pages 1-20, August.
- László Márkus & Ashish Kumar, 2021. "Modelling Joint Behaviour of Asset Prices Using Stochastic Correlation," Methodology and Computing in Applied Probability, Springer, vol. 23(1), pages 341-354, March.
- Li, Zhe & Zhang, Wei-Guo & Liu, Yong-Jun, 2018. "European quanto option pricing in presence of liquidity risk," The North American Journal of Economics and Finance, Elsevier, vol. 45(C), pages 230-244.
- Tianyao Chen & Xue Cheng & Jingping Yang, 2019. "Common Decomposition of Correlated Brownian Motions and its Financial Applications," Papers 1907.03295, arXiv.org, revised Nov 2020.
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More about this item
Keywords
Exotic option; Option pricing; Correlation risk; Portfolio; Random walk;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
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