Unspanned stochastic volatility and fixed income derivatives pricing
Year of publication: |
2005
|
---|---|
Authors: | Casassus, Jaime ; Collin-Dufresne, Pierre ; Goldstein, Bob |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 29.2005, 11, p. 2723-2749
|
Subject: | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Theorie | Theory |
-
Stochastic volatility in financial markets : crossing the bridge to continuous time
Fornari, Fabio, (2000)
-
Bhargava, Vivek, (2001)
-
"True" stochastic volatility and a generalized class of affine models
Collin-Dufresne, Pierre, (2000)
- More ...
-
Unspanned stochastic volatility and fixed income derivatives pricing
Casassus, Jaime, (2005)
-
Unspanned stochastic volatility and fixed income derivatives pricing
Casassus, Jaime, (2005)
-
Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates
Casassus, Jaime, (2005)
- More ...