scholarly journals A Stochastic Correlation Model with Time Change for Pricing Credit Spread Options

2017 ◽  
Vol 07 (02) ◽  
pp. 445-466
Author(s):  
Zhigang Tong ◽  
Allen Liu
Keyword(s):  
Time Change ◽  
Credit Spread ◽  
Correlation Model ◽  
Spread Options ◽  
Stochastic Correlation

On pricing of credit spread options

2005 ◽  
Vol 163 (1) ◽  
pp. 52-64 ◽  
Author(s):  
Rosella Giacometti ◽  
Mariangela Teocchi
Keyword(s):  
Credit Spread ◽  
Spread Options

Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function

2014 ◽  
Vol 18 (3) ◽  
Author(s):  
José Da Fonseca ◽  
Martino Grasselli ◽  
Florian Ielpo
Keyword(s):  
Characteristic Function ◽  
Financial Markets ◽  
Empirical Characteristic Function ◽  
Correlation Effects ◽  
Correlation Model ◽  
Moment Conditions ◽  
Gmm Estimation ◽  
Estimation Strategy ◽  
Stochastic Correlation ◽  
Asymmetric Correlation

AbstractThis paper provides the first estimation strategy for the Wishart Affine Stochastic Correlation (WASC) model. We provide elements showing that the use of empirical characteristic function-based estimates is advisable as this function is exponential affine in the WASC case. We use a GMM estimation strategy with a continuum of moment conditions based on the characteristic function. We present the estimation results obtained using a dataset of equity indexes. The WASC model captures most of the known stylized facts associated with financial markets, including leverage and asymmetric correlation effects.

Sign in / Sign up

Export Citation Format

Share Document