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

DOI10.1002/ASMB.2179zbMATH Open1420.91449OpenAlexW2401196766MaRDI QIDQ4620152FDOQ4620152

Barbara Götz, M. Escobar, Monika Bi, 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

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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)

Cited In (2)

• Short time behavior of the ATM implied skew in the ADO-Heston model
• Variance swaps under the threshold Ornstein–Uhlenbeck model

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