User: Guest  Login
Title:

Stochastic Covariance and Dimension Reduction in the Pricing of Basket Options

Document type:
Zeitschriftenaufsatz
Author(s):
Escobar, M.; Krause, D.; Zagst, R.
Non-TUM Co-author(s):
ja
Cooperation:
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...     »
Keywords:
Principal Components, Basket Options, Stochastic Covariance
Intellectual Contribution:
Discipline-based Research
Journal title:
Review of Derivatives Research
Journal listet in FT50 ranking:
nein
Year:
2016
Journal volume:
19
Journal issue:
3
Pages contribution:
165-200
Reviewed:
ja
Language:
en
Fulltext / DOI:
doi:10.1007/s11147-016-9119-x
Status:
Verlagsversion / published
TUM Institution:
Lehrstuhl für Finanzmathematik
Format:
Text
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Nein
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
 BibTeX
versions