Stochastic Correlation and Volatility Mean-reversion– Empirical Motivation and Derivatives Pricing via Perturbation Theory

DOI10.1080/1350486X.2014.906972zbMath1395.91439OpenAlexW1986296987MaRDI QIDQ4586319

Marcos Escobar, Barbara Götz, Rudi Zagst, Daniela Neykova

Publication date: 12 September 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2014.906972

zbMATH Keywords

perturbation theoryderivatives pricingstochastic correlationmultivariate asset price model

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

HARA utility maximization in a Markov-switching bond–stock market ⋮ Optimal investment in multidimensional Markov-modulated affine models ⋮ The Dynamic Correlation Model and Its Application to the Heston Model ⋮ PRICING TWO-ASSET BARRIER OPTIONS UNDER STOCHASTIC CORRELATION VIA PERTURBATION

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