The interplay between stochastic volatility and correlations in equity autocallables

Study shows issues with pricing autocallables using SLV


Alvise De Col and Patrick Kuppinger investigate typical equity worst-of autocallable structures within industry-standard multidimensional stochastic local volatility models. Introducing the corresponding effective local volatility models, they show how correlations between the stochastic variances play a central role in autocallable prices and risk management. One key result is that the pricing behaviour cannot be explained by the common belief that stochastic

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

Most read articles loading...

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here