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Long-Time Large Deviations for the Multiasset Wishart Stochastic Volatility Model and Option Pricing.

Aurélien AlfonsiDavid KriefPeter Tankov
Published in: SIAM J. Financial Math. (2019)
Keyphrases
  • machine learning
  • state dependent
  • large deviations
  • objective function
  • prior knowledge
  • probabilistic model
  • stochastic process
  • option pricing
  • probability distribution