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Titel:

Stochastic Correlation and Volatility Mean-reversion - Empirical Motivation and Derivatives Pricing via Perturbation Theory

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Escobar, M.; Götz, B.; Neykova, D.; Zagst, R.
Nicht-TUM Koautoren:
ja
Kooperation:
international
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:
6
Seitenangaben Beitrag:
555-594
Reviewed:
ja
Sprache:
en
Status:
Preprint / submitted
TUM Einrichtung:
Lehrstuhl für Finanzmathematik
Format:
Text
Urteilsbesprechung:
0
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
commissioned:
not commissioned
Professional Journal:
Ja
Leitbild:
;
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