A Stochastic Correlation Model with Mean Reversion for Pricing Multi-Asset Options
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Volume (Year): 16 (2009)
Issue (Month): 2 (June)
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References listed on IDEAS
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- Johnson, Herb & Shanno, David, 1987. "Option Pricing when the Variance Is Changing," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(02), pages 143-151, June.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
- Ball, Clifford A. & Roma, Antonio, 1994. "Stochastic Volatility Option Pricing," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(04), pages 589-607, December.
- Merville, Larry J. & Pieptea, Dan R., 1989. "Stock-price volatility, mean-reverting diffusion, and noise," Journal of Financial Economics, Elsevier, vol. 24(1), pages 193-214, September.
- Christian Gourieroux & Razvan Sufana, 2004. "Derivative Pricing with Multivariate Stochastic Volatility : Application to Credit Risk," Working Papers 2004-31, Centre de Recherche en Economie et Statistique.
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