A multivariate stochastic unit root model with an application to derivative pricing (Q341897)
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scientific article; zbMATH DE number 6653839
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A multivariate stochastic unit root model with an application to derivative pricing |
scientific article; zbMATH DE number 6653839 |
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A multivariate stochastic unit root model with an application to derivative pricing (English)
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17 November 2016
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autoregression
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derivative
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diffusion
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options
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similarity
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stochastic unit root
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time-varying coefficients
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