Open AccessEmbedding Stochastic Correlation into the Pricing of FX Quanto Options under Stochastic Volatility Models
Author(s) -
Tommaso Pellegrino
Publication year - 2019
Publication title -
journal of mathematical finance
Language(s) - English
Resource type - Journals
eISSN - 2162-2434
pISSN - 2162-2442
DOI - 10.4236/jmf.2019.93025
Subject(s) - stochastic volatility , affine transformation , econometrics , stochastic process , monte carlo method , valuation of options , stochastic investment model , volatility (finance) , exchange rate , variance (accounting) , embedding , mathematics , economics , computer science , asset allocation , financial economics , finance , statistics , portfolio , accounting , artificial intelligence , pure mathematics
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