Journal of Mathematical Finance

Vol.9 No.3(2019), Paper ID 94537, 39 pages

DOI:10.4236/jmf.2019.93025

 

Embedding Stochastic Correlation into the Pricing of FX Quanto Options under Stochastic Volatility Models

 

Tommaso Pellegrino

 

Senior Quantitative Analyst in the Market Risk Quant Team, Danske Bank, Copenhagen, Denmark

 

Copyright © 2019 Tommaso Pellegrino et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

 

How to Cite this Article

Pellegrino, T. (2019) Embedding Stochastic Correlation into the Pricing of FX Quanto Options under Stochastic Volatility Models. Journal of Mathematical Finance, 9, 455-493. doi: 10.4236/jmf.2019.93025.
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