A pairwise local correlation model
Frank Koster and Daniel Oeltz
| Year of publication: |
2019
|
|---|---|
| Authors: | Koster, Frank ; Oeltz, Daniel |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 22.2018/2019, 4, p. 1-24
|
| Subject: | local correlation | Monte Carlo | Gyöngy's theorem | pairwise correlation | local in index correlation | Markovian projection | Korrelation | Correlation | Monte-Carlo-Simulation | Monte Carlo simulation | Schätztheorie | Estimation theory | Markov-Kette | Markov chain |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2018.360 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012042217