A multivariate stochastic unit root model with an application to derivative pricing (Q341897)
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scientific article; zbMATH DE number 6653839
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A multivariate stochastic unit root model with an application to derivative pricing |
scientific article; zbMATH DE number 6653839 |
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A multivariate stochastic unit root model with an application to derivative pricing (English)
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17 November 2016
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autoregression
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derivative
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diffusion
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options
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similarity
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stochastic unit root
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time-varying coefficients
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0.7919387221336365
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0.7589451670646667
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0.7418367862701416
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