Neutral and indifference pricing with stochastic correlation and volatility
type: Item
instance of: scholarly article
title: Neutral and indifference pricing with stochastic correlation and volatility
zbMATH Open document ID: 1412.91225
author: Jia Yue
author: Nan-Jing Huang
published in: Journal of Industrial and Management Optimization
publication date: 2019-02-05T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G80
zbMATH DE Number: 7012473
zbMATH Keywords: Wishart affine stochastic correlation
zbMATH Keywords: utility-based pricing
zbMATH Keywords: neutral and indifference pricing
zbMATH Keywords: stochastic correlation and volatility
MaRDI profile type: Publication
full work available at URL: jimo.2017043
OpenAlex ID: W2606782707
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DOI: 10.3934/JIMO.2017043
description: scientific article; zbMATH DE number 7012473