Pricing of mountain range derivatives under a principal component stochastic volatility model (Q5414524): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 02:18, 9 February 2024
scientific article; zbMATH DE number 6292455
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing of mountain range derivatives under a principal component stochastic volatility model |
scientific article; zbMATH DE number 6292455 |
Statements
Pricing of mountain range derivatives under a principal component stochastic volatility model (English)
0 references
6 May 2014
0 references
stochastic covariance matrix
0 references
principal component analysis
0 references
mountain range derivatives
0 references
