Affiliation:
1. Technische Universität München; Munich Germany
2. Department of Mathematics; Ryerson University; Toronto ON Canada
Subject
Management Science and Operations Research,General Business, Management and Accounting,Modeling and Simulation
Reference24 articles.
1. A closed-form solution for options with stochastic volatility with applications to bonds and currency options;Heston;The Review of Financial Studies,1993
2. Stock price distributions with stochastic volatility: an analytic approach;Stein;Review of Financial Studies,1991
3. van Emmerich C Modelling correlation as a stochastic process Working Paper Wuppertal 2006
4. Pricing of spread options under stochastically correlated underlyings;Escobar;The Journal of Computational Finance,2009
5. Wishart processes;Bru;Journal of Theoretical Probability,1991
Cited by
2 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献