A multivariate stochastic unit root model with an application to derivative pricing
Offer Lieberman, Peter C.B. Phillips
| Year of publication: |
January 2017
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|---|---|
| Authors: | Lieberman, Offer ; Phillips, Peter C. B. |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 196.2017, 1, p. 99-110
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| Subject: | Autoregression | Derivative | Diffusion | Options | Similarity | Stochastic unit root | Time-varying coefficients | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading | Einheitswurzeltest | Unit root test | Black-Scholes-Modell | Black-Scholes model | Derivat | Zeitreihenanalyse | Time series analysis | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2016.05.019 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011743783