Pricing with finite dimensional dependence
Year of publication: |
August 2015
|
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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 | Derivat | Derivative | Zinsstruktur | Yield curve | Zustandsraummodell | State space model | Optionspreistheorie | Option pricing theory | Zinsderivat | Interest rate derivative | Markov-Kette | Markov chain | Swap |
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