Pricing exchange options under stochastic correlation-Reference-Cited by-同舟云学术

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Pricing exchange options under stochastic correlation

Published:2024-07 Issue: Volume:73 Page:102153
ISSN:1062-9408
Container-title:The North American Journal of Economics and Finance
language:en
Short-container-title:The North American Journal of Economics and Finance

Author:

Villamor Enrique,Olivares Pablo^ORCID

Publisher

Elsevier BV

Reference19 articles.

1. Pricing two dimensional derivatives under stochastic correlation;Alvarez;International Journal of Financial Markets and Derivatives,2011

2. Bernard, C., & Cui, Z. (2010). A Note on exchange options under stochastic interest rates (June 16, 2010): Technical report, Available at SSRN.

3. Correction: Exchange option under jump-diffusion dynamics;Caldana;Applied Mathematical Finance,2015

4. Exchange options under jump-diffusion dynamics;Cheang;Applied Mathematical Finance,2011

5. The pricing of options on assets with stochastic volatilities;Hull;The Journal of Finance,1987

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