A closed-form solution for outperformance options with stochastic correlation and stochastic volatility (Q2351280): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Changed an Item |
||
| Property / describes a project that uses | |||
| Property / describes a project that uses: Mathematica / rank | |||
Normal rank | |||
Revision as of 16:14, 28 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A closed-form solution for outperformance options with stochastic correlation and stochastic volatility |
scientific article |
Statements
A closed-form solution for outperformance options with stochastic correlation and stochastic volatility (English)
0 references
23 June 2015
0 references
outperformance option
0 references
Wishart process
0 references
stochastic volatility
0 references
stochastic correlation
0 references
