A generalised arbitrage-free Nelson-Siegel model : the impact of unspanned stochastic volatility
Rui Chen; Ke Du
| Year of publication: |
2013
|
|---|---|
| Authors: | Chen, Rui ; Du, Ke |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 10.2013, 1, p. 41-48
|
| Subject: | Theorie | Theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Zinsstruktur | Yield curve | Arbitrage Pricing | Arbitrage pricing |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009728597