European options sensitivity with respect to the correlation for multidimensional Heston models
Lokman A. Abbas-Turki; Damien Lamberton
| Year of publication: |
2014
|
|---|---|
| Authors: | Abbas-Turki, Lokman A. ; Lamberton, Damien |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 17.2014, 3, p. 1-36
|
| Subject: | Correlation sensitivity | multi-asset Heston model | Korrelation | Correlation | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010364767