Stochastic covariance and dimension reduction in the pricing of basket options
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DOI: 10.1007/s11147-016-9119-x
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- JosE Da Fonseca & Martino Grasselli & Claudio Tebaldi, 2008. "A multifactor volatility Heston model," Quantitative Finance, Taylor & Francis Journals, vol. 8(6), pages 591-604.
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- Marcos Escobar & Pablo Olivares, 2013. "Pricing of mountain range derivatives under a principal component stochastic volatility model," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 29(1), pages 31-44, January.
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More about this item
Keywords
Principal components; Basket options; Stochastic covariance;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
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