On the solution of the multi-asset black-scholes model : correlations, eigenvalues and geometry
Mauricio Contreras, Alejandro Llanquihuén, Marcelo Villena
| Year of publication: |
November 2016
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| Authors: | Contreras, Mauricio ; Llanquihuén, Alejandro ; Villena, Marcelo J. |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 6.2016, 4, p. 562-579
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| Subject: | Multi-Asset Black-Scholes Equation | Wei-Norman Theorem | Correlation Matrix Eigenvalues | Kummer Surface | Propagators | Korrelation | Correlation | Black-Scholes-Modell | Black-Scholes model | Optionspreistheorie | Option pricing theory | Portfolio-Management | Portfolio selection | Mathematik | Mathematics | Finanzmathematik | Mathematical finance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.4236/jmf.2016.64043 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011656962