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Option pricing when correlations are stochastic: an analytical framework

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  • José Fonseca
  • Martino Grasselli
  • Claudio Tebaldi

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  • José Fonseca & Martino Grasselli & Claudio Tebaldi, 2007. "Option pricing when correlations are stochastic: an analytical framework," Review of Derivatives Research, Springer, vol. 10(2), pages 151-180, May.
    • Handle: RePEc:kap:revdev:v:10:y:2007:i:2:p:151-180
    DOI: 10.1007/s11147-008-9018-x
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    References listed on IDEAS

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    1. Stephen A. Ross, 2013. "The Arbitrage Theory of Capital Asset Pricing," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 1, pages 11-30, World Scientific Publishing Co. Pte. Ltd..
    2. Da Fonseca José & Grasselli Martino & Ielpo Florian, 2014. "Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(3), pages 253-289, May.
    3. Martino Grasselli & Claudio Tebaldi, 2008. "Solvable Affine Term Structure Models," Mathematical Finance, Wiley Blackwell, vol. 18(1), pages 135-153, January.
    4. Gregory R. Duffee, 2002. "Term Premia and Interest Rate Forecasts in Affine Models," Journal of Finance, American Finance Association, vol. 57(1), pages 405-443, February.
    5. repec:bla:jfinan:v:59:y:2004:i:3:p:1367-1404 is not listed on IDEAS
    6. Christian Gourieroux & Razvan Sufana, 2004. "Derivative Pricing with Multivariate Stochastic Volatility : Application to Credit Risk," Working Papers 2004-31, Center for Research in Economics and Statistics.
    7. Darrell Duffie & Jun Pan & Kenneth Singleton, 2000. "Transform Analysis and Asset Pricing for Affine Jump-Diffusions," Econometrica, Econometric Society, vol. 68(6), pages 1343-1376, November.
    8. Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," The Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
    9. Alan L. Lewis, 2000. "Option Valuation under Stochastic Volatility," Option Valuation under Stochastic Volatility, Finance Press, number ovsv.
    10. Heston, Steven L & Nandi, Saikat, 2000. "A Closed-Form GARCH Option Valuation Model," The Review of Financial Studies, Society for Financial Studies, vol. 13(3), pages 585-625.
    11. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
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