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Titel:

Stochastic Covariance and Dimension Reduction in the Pricing of Basket Options

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Escobar, M.; Krause, D.; Zagst, R.
Nicht-TUM Koautoren:
ja
Kooperation:
international
Abstract:
This paper presents a tailor-made method for dimension reduction aimed at approximating the price of basket options in the context of stochastic volatility and stochastic correlation. The methodology is built on a modification to the Principal Component Stochastic Volatility (PCSV) model, a stochastic covariance model that accounts for most stylized facts in prices. The method to reduce dimension is first derived theoretically. Afterwards the results are applied to a multivariate lognormal conte...     »
Stichworte:
Principal Components, Basket Options, Stochastic Covariance
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
Review of Derivatives Research
Journal gelistet in FT50 Ranking:
nein
Jahr:
2016
Band / Volume:
19
Heft / Issue:
3
Seitenangaben Beitrag:
165-200
Reviewed:
ja
Sprache:
en
Volltext / DOI:
doi:10.1007/s11147-016-9119-x
Status:
Verlagsversion / published
TUM Einrichtung:
Lehrstuhl für Finanzmathematik
Format:
Text
Urteilsbesprechung:
0
Key publication:
Nein
Peer reviewed:
Nein
International:
Ja
Book review:
Nein
commissioned:
not commissioned
Professional Journal:
Nein
Technology:
Nein
Interdisziplinarität:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
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