Currency option pricing with Wishart process (Q1758411)
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scientific article; zbMATH DE number 6104519
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Currency option pricing with Wishart process |
scientific article; zbMATH DE number 6104519 |
Statements
Currency option pricing with Wishart process (English)
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9 November 2012
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exchange rate
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mean reversion
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option pricing
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stochastic skew
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stochastic volatility
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Wishart process
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0.91254485
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0.8910408
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0.88049173
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0.8775889
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0.8733567
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