Pricing of mountain range derivatives under a principal component stochastic volatility model

DOI10.1002/asmb.936zbMath1286.91134OpenAlexW2088894581MaRDI QIDQ5414524

Pablo Olivares, Marcos Escobar

Publication date: 6 May 2014

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.936

zbMATH Keywords

principal component analysisstochastic covariance matrixmountain range derivatives

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Stochastic models in economics (91B70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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