Currency option pricing with Wishart process
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Publication:1758411
DOI10.1016/j.cam.2012.08.029zbMath1251.91063OpenAlexW1989018193MaRDI QIDQ1758411
Hon Yip Ng, Kwai Sun Leung, Hoi Ying Wong
Publication date: 9 November 2012
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2012.08.029
Related Items (6)
Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps ⋮ The role of the dependence between mortality and interest rates when pricing guaranteed annuity options ⋮ On moment non-explosions for Wishart-based stochastic volatility models ⋮ Mean-variance portfolio selection with correlation risk ⋮ Pricing range notes within Wishart affine models ⋮ Mean-variance asset-liability management with asset correlation risk and insurance liabilities
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