Long-Time Large Deviations for the Multiasset Wishart Stochastic Volatility Model and Option Pricing (Q5215986)
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scientific article; zbMATH DE number 7167420
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Long-Time Large Deviations for the Multiasset Wishart Stochastic Volatility Model and Option Pricing |
scientific article; zbMATH DE number 7167420 |
Statements
Long-Time Large Deviations for the Multiasset Wishart Stochastic Volatility Model and Option Pricing (English)
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14 February 2020
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large deviations
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Wishart process
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importance sampling
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basket options
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implied volatility
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