Stochastic covariance and dimension reduction in the pricing of basket options (Q345719): Difference between revisions
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| Property / DOI: 10.1007/S11147-016-9119-X / rank | |||
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| Property / DOI: 10.1007/S11147-016-9119-X / rank | |||
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Latest revision as of 15:02, 9 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic covariance and dimension reduction in the pricing of basket options |
scientific article |
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Stochastic covariance and dimension reduction in the pricing of basket options (English)
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2 December 2016
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principal components
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basket options
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stochastic covariance
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