Pages that link to "Item:Q2425554"
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The following pages link to Option pricing when correlations are stochastic: an analytical framework (Q2425554):
Displayed 21 items.
- Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models (Q404585) (← links)
- Efficiently pricing double barrier derivatives in stochastic volatility models (Q488214) (← links)
- Affine processes on positive semidefinite matrices (Q535197) (← links)
- Discrete time Wishart term structure models (Q543795) (← links)
- On strong solutions for positive definite jump diffusions (Q554460) (← links)
- Multivariate COGARCH(1, 1) processes (Q605037) (← links)
- A stochastic correlation model with mean reversion for pricing multi-asset options (Q841855) (← links)
- Making the best of best-of (Q1025611) (← links)
- Mean-variance portfolio selection with correlation risk (Q2252429) (← links)
- Pricing range notes within Wishart affine models (Q2513635) (← links)
- Mean-variance asset-liability management with asset correlation risk and insurance liabilities (Q2514629) (← links)
- Riding on the smiles (Q2866376) (← links)
- The Explicit Laplace Transform for the Wishart Process (Q2923426) (← links)
- HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS (Q3100994) (← links)
- ON PRICING CONTINGENT CLAIMS UNDER THE DOUBLE HESTON MODEL (Q3166710) (← links)
- A PARSIMONIOUS MULTI-ASSET HESTON MODEL: CALIBRATION AND DERIVATIVE PRICING (Q3225031) (← links)
- A NOTE ON THE DAI-SINGLETON CANONICAL REPRESENTATION OF AFFINE TERM STRUCTURE MODELS* (Q3576960) (← links)
- WORST-OF OPTIONS AND CORRELATION SKEW UNDER A STOCHASTIC CORRELATION FRAMEWORK (Q4902547) (← links)
- THE WISHART SHORT RATE MODEL (Q4909141) (← links)
- Optimal Portfolios for Financial Markets with Wishart Volatility (Q5407025) (← links)
- Pricing of mountain range derivatives under a principal component stochastic volatility model (Q5414524) (← links)