A stochastically correlated bivariate square-root model
Year of publication: |
2024
|
---|---|
Authors: | Silva, Allan Jonathan da ; Baczynski, Jack ; Vicente, José Valentim Machado |
Published in: |
International Journal of Financial Studies : open access journal. - Basel : MDPI, ISSN 2227-7072, ZDB-ID 2704235-2. - Vol. 12.2024, 2, Art.-No. 31, p. 1-24
|
Subject: | CIR model | conditional characteristic functions | COS method | financial modeling | option pricing | stochastic correlation | stochastic differential equation | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Korrelation | Correlation | Analysis | Mathematical analysis | Schätztheorie | Estimation theory |
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