Pricing of mountain range derivatives under a principal component stochastic volatility model (Q5414524)
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scientific article; zbMATH DE number 6292455
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| English | Pricing of mountain range derivatives under a principal component stochastic volatility model |
scientific article; zbMATH DE number 6292455 |
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Pricing of mountain range derivatives under a principal component stochastic volatility model (English)
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6 May 2014
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stochastic covariance matrix
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principal component analysis
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mountain range derivatives
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0.7402356266975403
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0.7327549457550049
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0.7281771302223206
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0.7201510071754456
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0.7179133296012878
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