Arbitrage-Based Pricing when Volatility is Stochastic.
Autoria(s):
Bossaerts, P.; Ghysels, E.; Gourieroux, C.
Data(s)
24/01/2008
24/01/2008
1996
Resumo
The paper investigates the pricing of derivative securities with calendar-time maturities.
Formato
2019964 bytes
application/pdf
Identificador
Bossaerts, P., Ghysels, E. et Gourieroux, C., «Arbitrage-Based Pricing when Volatility is Stochastic.», Cahier de recherche #9615, Département de sciences économiques, Université de Montréal, 1996, 56 pages.
