WORST-OF OPTIONS AND CORRELATION SKEW UNDER A STOCHASTIC CORRELATION FRAMEWORK (Q4902547)
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scientific article; zbMATH DE number 6125926
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | WORST-OF OPTIONS AND CORRELATION SKEW UNDER A STOCHASTIC CORRELATION FRAMEWORK |
scientific article; zbMATH DE number 6125926 |
Statements
WORST-OF OPTIONS AND CORRELATION SKEW UNDER A STOCHASTIC CORRELATION FRAMEWORK (English)
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16 January 2013
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Wishart process
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stochastic volatility
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stochastic correlation
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skew of correlation
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worst-of options
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forward-start options
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0.8907448
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0.8668676
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0.8578031
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0.8573466
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0.8564458
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0.85594594
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0.85202295
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0.8493285
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0.84907657
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