Rainbow options with MS-VAR process (Q6541616)
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scientific article; zbMATH DE number 7851203
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Rainbow options with MS-VAR process |
scientific article; zbMATH DE number 7851203 |
Statements
Rainbow options with MS-VAR process (English)
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21 May 2024
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rainbow and lookback options
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Bayesian MS-VAR process
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locally risk-minimizing strategy
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0.7391427755355835
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0.7332763075828552
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0.7298880815505981
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0.7152065634727478
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