A new class of multidimensional Wishart-based hybrid models
Year of publication: |
2022
|
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Authors: | La Bua, Gaetano ; Marazzina, Daniele |
Published in: |
Decisions in economics and finance : a journal of applied mathematics. - Milano : Springer Italia, ISSN 1129-6569, ZDB-ID 2023516-1. - Vol. 45.2022, 1, p. 209-239
|
Subject: | Calibration | Hybrid model | Local volatility | Multi-assets | Wishart process | Volatilität | Volatility | Modellierung | Scientific modelling | Optionspreistheorie | Option pricing theory |
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