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Applied Mathematical Finance Volume 21, 2014 - Issue 6
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Original Articles

Stochastic Correlation and Volatility Mean-reversion – Empirical Motivation and Derivatives Pricing via Perturbation Theory

Marcos EscobarDepartment of Mathematics, Ryerson University, 350 Victoria St., Toronto, ONM5B 2K3, CanadaCorrespondence[email protected]
,
Barbara GötzChair of Mathematical Finance, Technische Universität München, Parkring 11, 85748Garching-Hochbrück, Germany
,
Daniela NeykovaChair of Mathematical Finance, Technische Universität München, Parkring 11, 85748Garching-Hochbrück, Germany
&
Rudi ZagstChair of Mathematical Finance, Technische Universität München, Parkring 11, 85748Garching-Hochbrück, Germany
Pages 555-594 | Received 05 Sep 2012, Accepted 10 Feb 2014, Published online: 14 Apr 2014

Citations (4)

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Read on this site (1)

M. Escobar, D. Neykova & R. Zagst. (2017) HARA utility maximization in a Markov-switching bond–stock market. Quantitative Finance 17:11, pages 1715-1733.
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Articles from other publishers (3)

L. Teng, M. Ehrhardt & M. Günther. 2016. Innovations in Derivatives Markets. Innovations in Derivatives Markets 437 449 .
Daniela Neykova, Marcos Escobar & Rudi Zagst. (2015) Optimal investment in multidimensional Markov-modulated affine models. Annals of Finance 11:3-4, pages 503-530.
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MARCOS ESCOBAR, BARBARA GÖTZ, DANIELA NEYKOVA & RUDI ZAGST. (2015) PRICING TWO-ASSET BARRIER OPTIONS UNDER STOCHASTIC CORRELATION VIA PERTURBATION. International Journal of Theoretical and Applied Finance 18:03, pages 1550018.
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