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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Escobar, M.; Götz, B.; Neykova, D.; Zagst, R. 
Nicht-TUM Koautoren:
ja 
Kooperation:
international 
Titel:
Stochastic Correlation and Volatility Mean-reversion - Empirical Motivation and Derivatives Pricing via Perturbation Theory 
Abstract:
The dependence structure is crucial when modeling several assets simultaneously. We show for a real-data example that the correlation structure between assets is not constant over time but rather changes stochastically, and we propose a multidimensional asset model which fits the patterns found in the empirical data. The model is applied to price multi-asset derivatives by means of perturbation theory. It turns out that the leading term of the approximation corresponds to the Black-Scholes deriv...    »
 
Stichworte:
multivariate asset price model, stochastic correlation, perturbation theory, derivatives pricing 
Intellectual Contribution:
Discipline-based Research 
Zeitschriftentitel:
Applied Mathematical Finance 
Journal gelistet in FT50 Ranking:
nein 
Jahr:
2014 
Band / Volume:
21 
Heft / Issue:
Seitenangaben Beitrag:
555-594 
Reviewed:
ja 
Sprache:
en 
Status:
Preprint / submitted 
TUM Einrichtung:
Lehrstuhl für Finanzmathematik 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Ja 
Leitbild: