Pricing exchange options under stochastic correlation Article

Villamor, Enrique, Olivares, Pablo. (2024). Pricing exchange options under stochastic correlation . 73 10.1016/j.najef.2024.102153

Open Access International Collaboration

cited authors

  • Villamor, Enrique; Olivares, Pablo

sustainable development goals

authors

publication date

  • July 1, 2024

keywords

  • Business & Economics
  • Business, Finance
  • Economics
  • Exchange options
  • Ornstein-Uhlenbeck process
  • Social Sciences
  • Stochastic correlation
  • Taylor expansion

Digital Object Identifier (DOI)

publisher

  • ELSEVIER SCIENCE INC

volume

  • 73