Pricing Exchange Options under Stochastic Correlation
Pricing of Securities
2020-01-14 v1 Computational Finance
Abstract
In this paper we study the pricing of exchange options when underlying assets have stochastic volatility and stochastic correlation. An approximation using a closed-form approximation based on a Taylor expansion of the conditional price is proposed. Numerical results are illustrated for exchanges between WTI and Brent type oil prices.
Cite
@article{arxiv.2001.03967,
title = {Pricing Exchange Options under Stochastic Correlation},
author = {Enrique Villamor and Pablo Olivares},
journal= {arXiv preprint arXiv:2001.03967},
year = {2020}
}