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A Stochastic Correlation Model with Mean Reversion for Pricing Multi-Asset Options

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  • Jun Ma

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  • Jun Ma, 2009. "A Stochastic Correlation Model with Mean Reversion for Pricing Multi-Asset Options," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 16(2), pages 97-109, June.
  • Handle: RePEc:kap:apfinm:v:16:y:2009:i:2:p:97-109
    DOI: 10.1007/s10690-009-9088-2
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    References listed on IDEAS

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    1. Poterba, James M & Summers, Lawrence H, 1986. "The Persistence of Volatility and Stock Market Fluctuations," American Economic Review, American Economic Association, vol. 76(5), pages 1142-1151, December.
    2. 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.
    3. Andrea Buraschi & Paolo Porchia & Fabio Trojani, 2010. "Correlation Risk and Optimal Portfolio Choice," Journal of Finance, American Finance Association, vol. 65(1), pages 393-420, February.
    4. José Fonseca & Martino Grasselli & Claudio Tebaldi, 2007. "Option pricing when correlations are stochastic: an analytical framework," Review of Derivatives Research, Springer, vol. 10(2), pages 151-180, May.
    5. Gourieroux, C. & Jasiak, J. & Sufana, R., 2009. "The Wishart Autoregressive process of multivariate stochastic volatility," Journal of Econometrics, Elsevier, vol. 150(2), pages 167-181, June.
    6. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    7. 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.
    8. 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 637-654, May-June.
    9. 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.
    10. Hull, John C & White, Alan D, 1987. " The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, vol. 42(2), pages 281-300, June.
    11. Christian Gourieroux & Razvan Sufana, 2004. "Derivative Pricing with Multivariate Stochastic Volatility : Application to Credit Risk," Working Papers 2004-31, Center for Research in Economics and Statistics.
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