CEU Electronic Theses and Dissertations, 2017
| Author | Merkulov, Nikita |
|---|---|
| Title | Spread Options Pricing with Stochastic Correlation |
| Summary | We introduce an approximate formula for the price of a spread option, assuming that the two underlying assets are correlated via a Jacobi process. We also give an overview of the related theory: pure stochastic analysis, Black-Scholes-Merton ideas applied to the classical one-stock market and to the two-stocks market, and the extensions of the corresponding models. |
| Supervisor | Márkus, László |
| Department | Mathematics MSc |
| Full text | https://www.etd.ceu.edu/2017/merkulov_nikita.pdf |
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