Empirical Assessment of an Intertemporal option Pricing Model with Latent variables.

This assesses the empirical performance of an intertemporal option pricing model with latent variables with generalized the Hull-White stochastic volatility formula.

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Year of publication:	2001
Authors:	Garcia, R. ; Luger, R. ; Renault, E.
Institutions:	Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ)
Subject:	PRICING \| FINANCIAL MARKET

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Series:	Cahiers de recherche.
Type of publication:	Book / Working Paper
Notes:	32 pages
Classification:	G10 - General Financial Markets. General ; C10 - Econometric and Statistical Methods: General. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005346028