Noncausal affine processes with applications to derivative pricing
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Publication:6146675
DOI10.1111/mafi.12384OpenAlexW2944433903MaRDI QIDQ6146675
Christian Gouriéroux, Unnamed Author
Publication date: 31 January 2024
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: http://crest.science/RePEc/wpstorage/2019-02.pdf
Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
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