PRICING TWO-ASSET BARRIER OPTIONS UNDER STOCHASTIC CORRELATION VIA PERTURBATION (Q5256837)
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scientific article; zbMATH DE number 6452369
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRICING TWO-ASSET BARRIER OPTIONS UNDER STOCHASTIC CORRELATION VIA PERTURBATION |
scientific article; zbMATH DE number 6452369 |
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PRICING TWO-ASSET BARRIER OPTIONS UNDER STOCHASTIC CORRELATION VIA PERTURBATION (English)
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29 June 2015
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multivariate asset price model
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stochastic correlation
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perturbation theory
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barrier derivatives pricing
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