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