On finite dimensional realizations for the term structure of futures prices
Year of publication: |
2005
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Authors: | Björk, Tomas ; Blix, Magnus ; Landén, Camilla |
Publisher: |
Stockholm : Stockholm School of Economics, The Economic Research Institute (EFI) |
Subject: | Termingeschäft | Volatilität | Markovscher Prozess | Zustandsraummodell | futures contract | term structure | Lie algebra | finite dimensional realisation |
Series: | |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 506649288 [GVK] hdl:10419/56071 [Handle] |
Classification: | G13 - Contingent Pricing; Futures Pricing |
Source: |
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