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- W2088894581 abstract "In this paper, a multidimensional stochastic volatility process is introduced. This process is simpler than existing ones in terms of number of parameters while keeping practical stylized facts like stochastic correlation and volatility. The pricing of two mountain range derivatives, Altavista and Everest, is analyzed under this framework, showing sensitivities to parameters, number of eigenvalues, and maturity time. Copyright © 2012 John Wiley & Sons, Ltd." @default.
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- W2088894581 date "2012-03-27" @default.
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- W2088894581 title "Pricing of mountain range derivatives under a principal component stochastic volatility model" @default.
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- W2088894581 doi "https://doi.org/10.1002/asmb.936" @default.
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