A stochastic correlation model with mean reversion for pricing multi-asset options (Q841855)
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scientific article; zbMATH DE number 5604986
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A stochastic correlation model with mean reversion for pricing multi-asset options |
scientific article; zbMATH DE number 5604986 |
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A stochastic correlation model with mean reversion for pricing multi-asset options (English)
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18 September 2009
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mean reversion
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stochastic correlation
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multi-asset option
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0.8340294361114502
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0.8247873187065125
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0.8033297657966614
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0.7987989783287048
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