A multivariate stochastic unit root model with an application to derivative pricing (Q341897)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: A multivariate stochastic unit root model with an application to derivative pricing |
scientific article; zbMATH DE number 6653839
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | A multivariate stochastic unit root model with an application to derivative pricing |
scientific article; zbMATH DE number 6653839 |
Statements
A multivariate stochastic unit root model with an application to derivative pricing (English)
0 references
17 November 2016
0 references
autoregression
0 references
derivative
0 references
diffusion
0 references
options
0 references
similarity
0 references
stochastic unit root
0 references
time-varying coefficients
0 references
0 references
