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Multivariate option pricing with time varying volatility and correlations

Jeroen V.K. Rombouts and Lars Stent
Year of publication:
2010
Authors: Rombouts, Jeroen V. K. ; Stent, Lars
Publisher: Louvain-la-Neuve : CORE
Subject: Optionspreistheorie | Option pricing theory | Risikoprämie | Risk premium | ARCH-Modell | ARCH model
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