Option pricing when correlations are stochastic: an analytical framework

José Da Fonseca, Martino Grasselli () and Claudio Tebaldi ()

Review of Derivatives Research, 2007, vol. 10, issue 2, 180 pages

Keywords: Wishart processes; Best-of basket option; Stochastic correlation; FFT (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1007/s11147-008-9018-x

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