Embedding Stochastic Correlation into the Pricing of FX Quanto Options under Stochastic Volatility Models

Tommaso Pellegrino

doi:10.4236/jmf.2019.93025

Embedding Stochastic Correlation into the Pricing of FX Quanto Options under Stochastic Volatility Models

Journal of Mathematical Finance ◽

10.4236/jmf.2019.93025 ◽

2019 ◽

Vol 09 (03) ◽

pp. 455-493

Author(s):

Tommaso Pellegrino

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Stochastic Correlation ◽

Volatility Models

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An adaptive Filon quadrature for stochastic volatility models

The Journal of Computational Finance ◽

10.21314/jcf.2018.356 ◽

2018 ◽

Vol 22 (3) ◽

pp. 65-88 ◽

Cited By ~ 1

Author(s):

Fabien Le Floc'h

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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The Journal of Risk ◽

10.21314/jor.2014.297 ◽

2014 ◽

Vol 17 (2) ◽

pp. 3-19 ◽

Cited By ~ 6

Author(s):

Matthew Lorig ◽

Stefano Pagliarani ◽

Andrea Pascucci

Keyword(s):

Stochastic Volatility ◽

Taylor Series ◽

Implied Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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SSRN Electronic Journal ◽

10.2139/ssrn.1528827 ◽

2009 ◽

Cited By ~ 1

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Natalia Beliaeva ◽

Sanjay K. Nawalkha

Keyword(s):

Stochastic Volatility ◽

American Options ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Low Dimensional

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SSRN Electronic Journal ◽

10.2139/ssrn.231165 ◽

2000 ◽

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Sassan Alizadeh ◽

Michael W. Brandt ◽

Francis X. Diebold

Keyword(s):

Exchange Rate ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Exchange Rate Dynamics ◽

Volatility Models

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SSRN Electronic Journal ◽

10.2139/ssrn.2339504 ◽

2013 ◽

Cited By ~ 2

Author(s):

Chi Yuen ◽

Wendong Zheng ◽

Yue Kuen Kwok

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Variance Swaps ◽

Volatility Models

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SSRN Electronic Journal ◽

10.2139/ssrn.2487746 ◽

2007 ◽

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Gabriele Susinno

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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Asymmetric Stochastic Volatility Models: Properties and Estimation

SSRN Electronic Journal ◽

10.2139/ssrn.2544473 ◽

2015 ◽

Cited By ~ 1

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Esther Ruiz ◽

Helena Veiga ◽

Veronika Czellar

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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SSRN Electronic Journal ◽

10.2139/ssrn.2720927 ◽

2016 ◽

Author(s):

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Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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SSRN Electronic Journal ◽

10.2139/ssrn.3210081 ◽

2018 ◽

Author(s):

Stefanos Dimitrakopoulos ◽

Efthymios G. Tsionas

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Forecasting Analysis

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Derivatives Written on a Power of the Stock Price: General Valuation Principles and Application to Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.356007 ◽

2003 ◽

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Angelika Esser

Keyword(s):

Stochastic Volatility ◽

Stock Price ◽

Stochastic Volatility Models ◽

Volatility Models

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