Noncausal affine processes with applications to derivative pricing
Year of publication: |
2023
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Authors: | Gouriéroux, Christian ; Lu, Yang |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial economics. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1467-9965, ZDB-ID 1481288-5. - Vol. 33.2023, 3, p. 766-796
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Subject: | affine process | derivative pricing | noncausal process | reverse time | speculative bubble | term structure | Derivat | Derivative | Zinsstruktur | Yield curve | Optionspreistheorie | Option pricing theory | Spekulationsblase | Bubbles | Stochastischer Prozess | Stochastic process |
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