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Document type:
Zeitschriftenaufsatz 
Author(s):
Escobar, M.; Götz, B.; Seco, L.; Zagst, R. 
Non-TUM Co-author(s):
ja 
Cooperation:
international 
Title:
Pricing of Spread Options on Stochastically Correlated Underlyings 
Abstract:
This paper proposes a method to price spread options on stochastically correlated underlying assets. Therefore it provides a more realistic approach towards correlation structure. We generalize a constant correlation tree model developed by Hull (2002) and extend it by the notion of stochastic correlation. The resulting tree model is recombining and easy to implement. Moreover, the numerical convergence of our model is very fast. Our sensitivity analysis with respect to the stochastic correlatio...    »
 
Intellectual Contribution:
Discipline-based Research 
Journal title:
The Journal of Computational Finance 
Year:
2009 
Journal volume:
12 
Journal issue:
Pages contribution:
31-61 
Language:
en 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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