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Option pricing theory
correlation skew
4
Correlation
3
Correlation skew
3
Korrelation
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Optionspreistheorie
3
CDO
2
Copula
2
Factor model
2
Multivariate Verteilung
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Multivariate distribution
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Stochastic correlation
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Stochastischer Prozess
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Volatility
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Volatilität
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copula
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American options
1
Analysis of variance
1
Asset-Backed Securities
1
Asset-backed securities
1
Base Correlation Skew
1
Börsenkurs
1
CDOs
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Capital income
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Correlation Skew
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Credit Risk
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Credit Spread
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Credit derivative
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Credit risk
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Dependent Default
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Equity Derivatives
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Equity Market Models
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FX triangle
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Gaussian Copula
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Hybrid Modelling
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Kamtchueng, Christian
1
Luján Fernández, Ignacio
1
Pellegrino, T.
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International journal of bonds and derivatives
1
International journal of financial engineering
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The journal of computational finance
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ECONIS (ZBW)
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Pricing the
correlation
skew
with normal mean-variance mixture copulas
Luján Fernández, Ignacio
- In:
The journal of computational finance
26
(
2022
)
2
,
pp. 83-99
Persistent link: https://www.econbiz.de/10013549659
Saved in:
2
Capturing implied
correlation
skew
from options prices via multiscale stochastic volatility models
Pellegrino, T.
- In:
International journal of financial engineering
7
(
2020
)
4
,
pp. 1-42
Persistent link: https://www.econbiz.de/10012603755
Saved in:
3
Smile perfect match extension
Kamtchueng, Christian
- In:
International journal of bonds and derivatives
3
(
2017
)
2
,
pp. 93-113
Persistent link: https://www.econbiz.de/10011807767
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