Stochastic volatility models for the implied correlation index : evidence, properties and pricing
Marcos Escobar, Lin Fang
| Year of publication: |
2020
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|---|---|
| Authors: | Escobar, Marcos ; Lin, Fang |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 35.2020, p. 1-8
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| Subject: | Correlation derivatives | Implied correlation index | Mean reversion | Stochastic volatility models | Korrelation | Correlation | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Aktienindex | Stock index | Optionspreistheorie | Option pricing theory | Mean Reversion | Börsenkurs | Share price | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2019.101309 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012438998