Option pricing when correlations are stochastic: an analytical framework

By J. D. da Fonseca, Martino Grasselli, Claudio Tebaldi. 2007

211 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/33e2275bf1dcec79f389192d271caf91f870f651

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Citations in the corpus

Riding on the smiles (2011, unknown): “Another multi-asset model in the spirit of Da Fonseca et al. (2007b) and based on a matrix pure jump volatility process was developed by Barndorff-Nielsen and Stelzer (2011).”
Hedging (Co)Variance Risk with Variance Swaps (2011, unknown): “We refer to Da Fonseca et al. (2007) for further details on the methodology and on the financial interpretation of the estimated parameters.”
Multivariate asset models using Lévy processes and applications (2012, unknown): “be considered as an alternative to the Wishart processes approach introduced for example by Gourieroux (2006), Da Fonseca et al. (2007) and further extended by Leippold and Trojani (2008).”
On strong solutions for positive definite jump diffusions (2009, unknown): “Positive semi-definite matrix valued processes are increasingly used in finance, particularly for stochastic modeling of multivariate stochastic volatility phenomena in equity and fixed income models, see [7, 8, 12, 11, 13, 14, 21, 20, 23, 33].”
Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function (2014, unknown): “In this section, we present the Wishart Affine Stochastic Correlation model introduced in Da Fonseca et al. (2007): we detail the diffusion that drives this multidimensional process and present the conditional characteristic function together with its derivatives.”
Affine Processes on Positive Semidefinite Matrices (2009, unknown): “rate solutions, as they are only deﬁned on low-dimensional subsets of the boundary of S+ d (see [7, Corollary 1]). 4 C.CUCHIERO, D.FILIPOVIC, E.MAYERHOFER AND J.TEICHMANN´ including Da Fonseca et al. [10, 11, 12, 13] and Buraschi et al. [9, 8]. Barndorﬀ- Nielsen and Stelzer [4] provide a theory for ”
Numerical solution of two asset jump diffusion models for option valuation (2008, methodology): “In this case, we can obtain a semi-analytic solution using Fourier methods [18], which allows us to determine the error in our numerical scheme.”
General closed-form basket option pricing bounds (2016, methodology): “The WASC model The Wishart Affine Stochastic Correlation (WASC) model, introduced by Da Fonseca et al. (2007), is a model which is applicable to different asset classes whenever a realistic and analytically tractable description of instantaneous correlations among state variables is required see e.g”