Stochastic correlation and volatility mean-reversion : empirical motivation and derivatives pricing via perturbation theory
Marcos Escobar, Barbara Götz, Daniela Neykova & Rudi Zagst
| Year of publication: |
2014
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|---|---|
| Authors: | Escobar, Marcos ; Götz, Barbara ; Neykova, Daniela ; Zagst, Rudi |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 21.2014, 5/6, p. 555-594
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| Subject: | Multivariate asset price model | stochastic correlation | perturbation theory | derivatives pricing | Derivat | Derivative | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Korrelation | Correlation | CAPM | Volatilität | Volatility |
| 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/10010500871