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Document type:
Zeitschriftenaufsatz 
Author(s):
Escobar, M.; Götz, B., Neykova, D.; Zagst, R. 
Non-TUM Co-author(s):
ja 
Cooperation:
international 
Title:
Pricing two-asset Barrier Options under Stochastic Correlation via Perturbation 
Abstract:
The correlation structure is crucial when pricing multi-asset products, in particular barrier options. In this work we price two-asset path-dependent derivatives by means of perturbation theory in the context of a bi-dimensional asset model with stochastic correlation and volatilities. To our best knowledge, this is the first attempt at pricing barriers with stochastic correlation. It turns out that the leading term of the approximation corresponds to a constant covariance Black-Scholes type pri...    »
 
Keywords:
multivariate asset price model, stochastic correlation, perturbation theory, barrier derivatives pricing 
Intellectual Contribution:
Discipline-based Research 
Journal title:
International Journal of Theoretical and Applied Finance 
Year:
2015 
Journal volume:
18 
Journal issue:
Pages contribution:
1-44 
Reviewed:
nein 
Key publication:
Nein 
Peer reviewed:
Nein 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Ja 
Mission statement:
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