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Title:

Pricing of Spread Options on Stochastically Correlated Underlyings

Document type:
Zeitschriftenaufsatz
Author(s):
Escobar, M.; Götz, B.; Seco, L.; Zagst, R.
Non-TUM Co-author(s):
ja
Cooperation:
international
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:
3
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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