Pricing of triggered financial products in the ARIMA model with time-varying volatility

zbMATH Open1449.91157MaRDI QIDQ3307142FDOQ3307142

Mingxue Qiu, Yudong Sun

Publication date: 12 August 2020

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zbMATH Keywords

ARIMA modeltime-varying volatilitynumber of effective simulationstriggered financial products

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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