Pricing with finite dimensional dependence
C. Gourieroux, A. Monfort
| Year of publication: |
August 2015
|
|---|---|
| Authors: | Gouriéroux, Christian ; Monfort, Alain |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 187.2015, 2, p. 408-417
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| Subject: | Derivative pricing | Term structure | Predictor space | Nonlinear state space | Volatility swaps | Finite dimensional dependence | Linearity generating process | Volatilität | Volatility | Zustandsraummodell | State space model | Zinsstruktur | Yield curve | Derivat | Derivative | Zinsderivat | Interest rate derivative | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2015.02.027 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011499694