Pages that link to "Item:Q5414524"
From MaRDI portal
The following pages link to Pricing of mountain range derivatives under a principal component stochastic volatility model (Q5414524):
Displaying 11 items.
- Stochastic covariance and dimension reduction in the pricing of basket options (Q345719) (← links)
- Optimal investment in multidimensional Markov-modulated affine models (Q902185) (← links)
- A multivariate stochastic volatility model with applications in the foreign exchange market (Q1621630) (← links)
- Optimal investment under multi-factor stochastic volatility (Q4555076) (← links)
- Valuing variable annuity guarantees on multiple assets (Q4575460) (← links)
- <i>Stochastic Correlation and Volatility Mean-reversion</i>– Empirical Motivation and Derivatives Pricing via Perturbation Theory (Q4586319) (← links)
- International portfolio choice under multi-factor stochastic volatility (Q5079408) (← links)
- A stochastic volatility factor model of heston type. Statistical properties and estimation (Q5085832) (← links)
- PRICING TWO-ASSET BARRIER OPTIONS UNDER STOCHASTIC CORRELATION VIA PERTURBATION (Q5256837) (← links)
- Algorithm 963 (Q5270763) (← links)
- Two asset-barrier option under stochastic volatility (Q5373915) (← links)
