Pricing of mountain range derivatives under a principal component stochastic volatility model (Q5414524): Difference between revisions

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Property / full work available at URL: https://doi.org/10.1002/asmb.936 / rank
 
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Latest revision as of 12:27, 8 July 2024

scientific article; zbMATH DE number 6292455
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English
Pricing of mountain range derivatives under a principal component stochastic volatility model
scientific article; zbMATH DE number 6292455

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    Pricing of mountain range derivatives under a principal component stochastic volatility model (English)
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    6 May 2014
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    stochastic covariance matrix
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    principal component analysis
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    mountain range derivatives
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