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suggests that the volatility risk premium has a negligible impact on the pricing performance of Heston´s model. …
Persistent link: https://www.econbiz.de/10005212597
The article proposes a new algorithm for adjusting correlation matrices and for comparison with Finger's algorithm, which is used to compute Value-at-Risk in RiskMetrics for stress test scenarios. The solution proposed by the new methodology is always better than Finger's approach in the sense...
Persistent link: https://www.econbiz.de/10005731376