spread option with stochastic volatility

namanh · July 19th, 2008, 6:19 pm

Hi,I have a portfolio of 2 underlyings, each of which has stochastic volatility. So overall there are 4 correlated state variables. I want to price the spread option on these two assets using MonteCarlo. I'm looking for some papers or book chapters.Thanks for your pointersN.A.

prospero · July 20th, 2008, 7:05 am

Google up Piterbarg's work on stoch vol and Markovian projections.