Option pricing when correlations are stochastic: an analytical framework-Reference-Cited by-同舟云学术

Option pricing when correlations are stochastic: an analytical framework

Published:2007-05 Issue:2 Volume:10 Page:151-180
ISSN:1380-6645
Container-title:Review of Derivatives Research
language:en
Short-container-title:Rev Deriv Res

Author:

Fonseca José Da,Grasselli Martino,Tebaldi Claudio

Publisher

Springer Science and Business Media LLC

Subject

Economics, Econometrics and Finance (miscellaneous),Finance

Link

http://link.springer.com/content/pdf/10.1007/s11147-008-9018-x.pdf

Reference26 articles.

1. Ang A. and Chen J. (2002). Asymmetric correlations on equity portfolios. Journal of Financial Economics 63: 443–494

2. Bakshi G.S. and Madan D.B. (2000). Spanning and derivative-security valuation. Journal of Financial Economics 55: 205–238

3. Bru M.F. (1991). Wishart processes. Journal of Theoretical Probability 4: 725–743

4. Buraschi, A., Porchia, P., & Trojani, F. (2006). Correlation hedging. Preprint. Now available at SSRN: http://www.ssrn.com/abstract=908664 as “Correlation Risk and Optimal Portfolio Choice”.

5. Carr P. and Madan D.B. (1999). Option valuation using the fast Fourier transform. Journal of Computational Finance 2: 61–73

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