Stochastic volatility models for the implied correlation index : evidence, properties and pricing
Year of publication: |
2020
|
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Authors: | Escobar, Marcos ; Lin, Fang |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 35.2020, p. 1-8
|
Subject: | Correlation derivatives | Implied correlation index | Mean reversion | Stochastic volatility models | Volatilität | Volatility | Korrelation | Correlation | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Schätzung | Estimation | Aktienindex | Stock index | Index-Futures | Index futures | Kapitaleinkommen | Capital income | Börsenkurs | Share price |
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