Pages that link to "Item:Q4586319"
From MaRDI portal
The following pages link to <i>Stochastic Correlation and Volatility Mean-reversion</i>– Empirical Motivation and Derivatives Pricing via Perturbation Theory (Q4586319):
Displaying 7 items.
- Correlations and bounds for stochastic volatility models (Q877000) (← links)
- Optimal investment in multidimensional Markov-modulated affine models (Q902185) (← links)
- A mean-reverting SDE on correlation matrices (Q1939349) (← links)
- HARA utility maximization in a Markov-switching bond–stock market (Q4555174) (← links)
- The Dynamic Correlation Model and Its Application to the Heston Model (Q4689924) (← links)
- PRICING TWO-ASSET BARRIER OPTIONS UNDER STOCHASTIC CORRELATION VIA PERTURBATION (Q5256837) (← links)
- MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES (Q6095476) (← links)
