Finite Mixture Approximation of CARMA(p,q) Models
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Publication:5013835
DOI10.1137/20M1363248zbMath1479.91410arXiv2005.10130OpenAlexW3209538834MaRDI QIDQ5013835
Edit Rroji, Andrea Perchiazzo, Lorenzo Mercuri
Publication date: 2 December 2021
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2005.10130
Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
Uses Software
Cites Work
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