Principal component models with stochastic mean-reverting levels. Pricing and covariance surface improvements (Q4620152)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Principal component models with stochastic mean-reverting levels. Pricing and covariance surface improvements |
scientific article; zbMATH DE number 7015452
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Principal component models with stochastic mean-reverting levels. Pricing and covariance surface improvements |
scientific article; zbMATH DE number 7015452 |
Statements
Principal component models with stochastic mean‐reverting levels. Pricing and covariance surface improvements (English)
0 references
8 February 2019
0 references
stochastic covariance
0 references
stochastic mean-reverting level
0 references
exotic options
0 references
implied volatility and correlation surfaces
0 references
0.7387219071388245
0 references
0.7326307892799377
0 references
0.7208318710327148
0 references
0.720223069190979
0 references
