Pricing Composite and Quanto Derivatives under Stochastic Correlation and Stochastic Volatility

Jacinto Marabel Romo

doi:10.3905/jod.2014.21.4.082

Pricing Composite and Quanto Derivatives under Stochastic Correlation and Stochastic Volatility

Jacinto Marabel Romo

The Journal of Derivatives Summer 2014, 21 (4) 82-102; DOI: https://doi.org/10.3905/jod.2014.21.4.082

Jacinto Marabel Romo

is an equity derivatives trader at BBVA and a researcher at University of Alcalá in Madrid, Spain.

Find this author on Google Scholar
Find this author on PubMed
Search for this author on this site
For correspondence: jacinto.marabel@bbva.com

Article
Info & Metrics
PDF (Subscribers Only)

Click to login and read the full article.

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Username *

Password *

Forgot your user name or password?

PreviousNext

Explore our content to discover more relevant research

By topic
Across journals
From the experts
Monthly highlights
Special collections

In this issue

The Journal of Derivatives

Vol. 21, Issue 4

Summer 2014

Table of Contents
Index by author

Download PDF

Article Alerts

User Name *

Password *

Email *

Email Article

Thank you for your interest in spreading the word on The Journal of Derivatives.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Your Email *

Your Name *

Send To *

Enter multiple addresses on separate lines or separate them with commas.

You are going to email the following Pricing Composite and Quanto Derivatives under Stochastic Correlation and Stochastic Volatility

Message Subject (Your Name) has sent you a message from The Journal of Derivatives

Message Body (Your Name) thought you would like to see the The Journal of Derivatives web site.

Your Personal Message

CAPTCHA

This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.

Citation Tools

Pricing Composite and Quanto Derivatives under Stochastic Correlation and Stochastic Volatility