A Stochastic Correlation Model with Mean Reversion for Pricing Multi-Asset Options
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Volume (Year): 16 (2009)
Issue (Month): 2 (June)
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- Joan Jasiak & R. Sufana & C. Gourieroux, 2005. "The Wishart Autoregressive Process of Multivariate Stochastic Volatility," Working Papers 2005_2, York University, Department of Economics.
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