Pricing vulnerable European options with stochastic correlation (Q4628409)
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: Pricing vulnerable European options with stochastic correlation |
scientific article; zbMATH DE number 7035539
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Pricing vulnerable European options with stochastic correlation |
scientific article; zbMATH DE number 7035539 |
Statements
PRICING VULNERABLE EUROPEAN OPTIONS WITH STOCHASTIC CORRELATION (English)
0 references
13 March 2019
0 references
GARCH models
0 references
stochastic correlation
0 references
stochastic volatility
0 references
vulnerable options
0 references
0 references
0 references
0 references
0.8803176283836365
0 references
0.8637064695358276
0 references
0.8582613468170166
0 references
0.8578343391418457
0 references
