Option pricing for co-integrated assets

MaRDI QIDQ4550913zbMATH OpenFDO

Authors Stanley R. Pliska, Jin-Chuan Duan

Publication date 4 September 2002

zbMATH Keywords

co-integrationdiffusion limitGarchoption valuationspread options

Mathematics Subject Classification ID

Economic time series analysis (91B84) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(2)

• scientific article; zbMATH DE number 7088115 (Why is no real title available?)
• Option valuation with co-integrated asset prices

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