Stochastic correlation and volatility mean-reversion -- empirical motivation and derivatives pricing via perturbation theory (Q4586319)
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scientific article; zbMATH DE number 6935844
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| English | Stochastic correlation and volatility mean-reversion -- empirical motivation and derivatives pricing via perturbation theory |
scientific article; zbMATH DE number 6935844 |
Statements
<i>Stochastic Correlation and Volatility Mean-reversion</i>– Empirical Motivation and Derivatives Pricing via Perturbation Theory (English)
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12 September 2018
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multivariate asset price model
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stochastic correlation
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perturbation theory
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derivatives pricing
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0.8455790877342224
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0.8247873187065125
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0.817172110080719
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0.795267641544342
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0.7948180437088013
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