Principal component models with stochastic mean‐reverting levels. Pricing and covariance surface improvements (Q4620152)

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scientific article; zbMATH DE number 7015452
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Principal component models with stochastic mean‐reverting levels. Pricing and covariance surface improvements
scientific article; zbMATH DE number 7015452

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    Principal component models with stochastic mean‐reverting levels. Pricing and covariance surface improvements (English)
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    8 February 2019
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    stochastic covariance
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    stochastic mean-reverting level
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    exotic options
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    implied volatility and correlation surfaces
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