Exchange option pricing under stochastic volatility: a correlation expansion
Author:
Publisher
Springer Science and Business Media LLC
Subject
Economics, Econometrics and Finance (miscellaneous),Finance
Link
http://link.springer.com/content/pdf/10.1007/s11147-009-9043-4.pdf
Reference20 articles.
1. Alos E. (2006) A generalization of the Hull and White formula with applications to option pricing approximation. Finance and Stochastics 10: 353–365
2. Andersen L. (2008) Simple and efficient simulation of the Heston stochastic volatility model. Journal of Computational Finance 11(3): 1–42
3. Antonelli F., Scarlatti S. (2009) Pricing option under stochastic volatility. A power series approach. Finance and Stochastics 13(2): 269–303
4. Bakshi G. S., Cao C., Chen Z. (1997) Empirical performance of alternative option pricing models. Journal of Finance 52: 2003–2049
5. Bakshi G. S., Madan D. (2000) Spanning and derivative securities valuation. Journal of Financial Economics 55: 205–238
Cited by 31 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Pricing exchange options under hybrid stochastic volatility and interest rate models;Journal of Computational and Applied Mathematics;2025-03
2. Pricing options on the maximum or the minimum of several assets with default risk;The North American Journal of Economics and Finance;2025-01
3. Analytic approximations for European-style Asian spread options;AIMS Mathematics;2024
4. An analytical approach to the pricing of an exchange option with default risk under a stochastic volatility model;Advances in Continuous and Discrete Models;2023-08-30
5. Exchange options with stochastic liquidity risk;Expert Systems with Applications;2023-08
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3