Multi-Asset Option Pricing Using Normal Tempered Stable Processes with Stochastic Correlation | The Journal of Derivatives

The Journal of Derivatives

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vol. 30 no. 3 42-64

DOI

https://doi.org/10.3905/jod.2022.1.175

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Pageant Media Ltd

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Published online March 1, 2023.

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Latest version (December 13, 2022 - 04:11).
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Young Shin Kim
1. is an associate professor of finance in the College of Business at Stony Brook University in Stony Brook, NY. (aaron.kim{at}stonybrook.edu)
Hyangju Kim
1. is an assistant vice president at Citigroup, Inc., in New York, NY. (hyangju.kim{at}gmail.com)
Jaehyung Choi
1. is a vice president at Goldman Sachs & Co., in New York, NY. (jj.jaehyung.choi{at}gmail.com)
Frank J. Fabozzi
1. is a professor of finance at EDHEC Business School, in Nice, France. (frank.fabozzi{at}edhec.edu)

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