Kim, Young Shin; Kim, Hyangju; Choi, Jaehyung; Fabozzi, … - 2021
We present a new model of normal tempered stable (NTS) processes with stochastic correlation for multi-asset option pricing. The model is constructed by extending the constant correlation term in the NTS model to the stochastic correlation making use of the Ornstein-Uhlenbeck process. As the...