Principal component models with stochastic mean‐reverting levels. Pricing and covariance surface improvements

DOI10.1002/ASMB.2179zbMath1420.91449OpenAlexW2401196766MaRDI QIDQ4620152

Barbara Götz, Marcos Escobar, Monika Bi, Rudi Zagst

Publication date: 8 February 2019

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.2179

zbMATH Keywords

exotic optionsstochastic covarianceimplied volatility and correlation surfacesstochastic mean-reverting level

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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