Open AccessMultivariate Option Pricing with Time Varying Volatility and Correlations
Author(s) -
Jeroen V.K. Rombouts,
Lars Stentoft
Publication year - 2010
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.1664961
Subject(s) - multivariate statistics , economics , econometrics , valuation of options , volatility (finance) , financial economics , implied volatility , volatility smile , stochastic volatility , mathematics , statistics
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