Option valuation with co-integrated asset prices (Q951492)
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scientific article; zbMATH DE number 5356921
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Option valuation with co-integrated asset prices |
scientific article; zbMATH DE number 5356921 |
Statements
Option valuation with co-integrated asset prices (English)
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24 October 2008
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co-integration
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option valuation
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GARCH
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diffusion limit
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spread options
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0.8746755
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0.8693155
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0.8626561
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0.8620536
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