Option pricing when correlations are stochastic: an analytical framework

Springer Science and Business Media LLC - Tập 10 Số 2 - Trang 151-180 - 2007
José Da Fonseca1, Martino Grasselli1, Claudio Tebaldi2
1Departement Mathématiques et Ingénierie Financière, Ecole Supérieure d'Ingénieurs Léonard de Vinci, Paris La Defense, 92916, France
2IMQ, Università Bocconi Milano, Viale Isonzo 25, Milano, 20139, Italy

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