| Article ID | Journal | Published Year | Pages | File Type | 
|---|---|---|---|---|
| 5089898 | Journal of Banking & Finance | 2012 | 15 Pages | 
Abstract
												⺠We model the joint dynamics of asset prices when all covariances are stochastic. ⺠We present an integrated pricing approach for Quanto and plain-vanilla options. ⺠The model can explain the smile of stock options and currency options. ⺠Prices of Quanto and plain-vanilla options change independently of each other.
											Related Topics
												
													Social Sciences and Humanities
													Economics, Econometrics and Finance
													Economics and Econometrics
												
											Authors
												Nicole Branger, Matthias Muck, 
											