Principal component models with stochastic mean‐reverting levels. Pricing and covariance surface improvements (Q4620152)
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scientific article; zbMATH DE number 7015452
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Principal component models with stochastic mean‐reverting levels. Pricing and covariance surface improvements |
scientific article; zbMATH DE number 7015452 |
Statements
Principal component models with stochastic mean‐reverting levels. Pricing and covariance surface improvements (English)
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8 February 2019
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stochastic covariance
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stochastic mean-reverting level
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exotic options
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implied volatility and correlation surfaces
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