Derivative Pricing With Wishart Multivariate Stochastic Volatility
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Publication:5392719
DOI10.1198/jbes.2009.08105zbMath1209.91179MaRDI QIDQ5392719
Christian Gouriéroux, Razvan Sufana
Publication date: 13 April 2011
Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1198/jbes.2009.08105
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
91G40: Credit risk
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