论文标题
随机相关性下的定价交换选项
Pricing Exchange Options under Stochastic Correlation
论文作者
论文摘要
在本文中，我们研究了基本资产具有随机波动性和随机相关性时的交换期权定价。提出了基于条件价格的泰勒膨胀的封闭形式近似的近似值。对于WTI和Brent型石油价格之间的交流说明了数值结果。
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.
