Arbitrage-Based Pricing when Volatility is Stochastic.

The paper investigates the pricing of derivative securities with calendar-time maturities.

Year of publication:	1996
Authors:	Bossaerts, P. ; Ghysels, E. ; Gourieroux, C.
Institutions:	Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ)
Subject:	FINANCIAL MARKET \| INTERNATIONAL FINANCE \| RISK

Series:	Cahiers de recherche.
Type of publication:	Book / Working Paper
Notes:	56 pages
Classification:	D80 - Information and Uncertainty. General ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; G10 - General Financial Markets. General ; G11 - Portfolio Choice ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005133099