Exchange option models.
Enrique Villamor,
(Florida International University, USA)
Jueves 11 de marzo 2010
We will present stochastic volatility and correlation models to price and hedge exchange
european options. These options become very useful in times of financial distress. During those times, previously little correlated underlyings become highly negatively correlated and those times can be considered to be random. Thus, it is natural to deal with models where the correlation is stochastic.