A stochastic correlation model with mean reversion for pricing multi-asset options (Q841855)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A stochastic correlation model with mean reversion for pricing multi-asset options |
scientific article |
Statements
A stochastic correlation model with mean reversion for pricing multi-asset options (English)
0 references
18 September 2009
0 references
mean reversion
0 references
stochastic correlation
0 references
multi-asset option
0 references
0 references
0 references
0 references
