Neutral and indifference pricing with stochastic correlation and volatility

DOI10.3934/jimo.2017043zbMath1412.91225OpenAlexW2606782707MaRDI QIDQ1716937

Jia Yue, Nan-Jing Huang

Publication date: 5 February 2019

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2017043

zbMATH Keywords

utility-based pricingneutral and indifference pricingstochastic correlation and volatilityWishart affine stochastic correlation

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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