Principal component models with stochastic mean-reverting levels. Pricing and covariance surface improvements

DOI10.1002/ASMB.2179MaRDI QIDQ4620152zbMATHOpenAlexFDO

Authors Monika Bi, M. Escobar, Barbara Götz, R. Zagst

Publication date 8 February 2019

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.2179

zbMATH Keywords

stochastic covarianceexotic optionsimplied volatility and correlation surfacesstochastic mean-reverting level

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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