Option valuation with co-integrated asset prices
type: Item
instance of: scholarly article
title: Option valuation with co-integrated asset prices
zbMATH Open document ID: 1179.91261
DOI: 10.1016/S0165-1889(03)00042-3
author: Jin-Chuan Duan
author: Stanley R. Pliska
publication date: 2008-10-24T00:00:00Z
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 5356921
zbMATH Keywords: co-integration
zbMATH Keywords: option valuation
zbMATH Keywords: GARCH
zbMATH Keywords: diffusion limit
zbMATH Keywords: spread options
MaRDI profile type: Publication
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cites work: Martingales and arbitrage in multiperiod securities markets
cites work: Martingales and stochastic integrals in the theory of continuous trading
cites work: Option Pricing in ARCH-type Models
cites work: Q4218374
cites work: ARCH models as diffusion approximations
published in: Journal of Economic Dynamics and Control
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description: scientific article; zbMATH DE number 5356921