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Derivat 1 Derivative 1 Derivative pricing 1 Finite dimensional dependence 1 Interest rate derivative 1 Linearity generating process 1 Markov chain 1 Markov-Kette 1 Nonlinear state space 1 Option pricing theory 1 Optionspreistheorie 1 Predictor space 1 State space model 1 Swap 1 Term structure 1 Volatility 1 Volatility swaps 1 Volatilität 1 Yield curve 1 Zinsderivat 1 Zinsstruktur 1 Zustandsraummodell 1
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English 1
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Gouriéroux, Christian 1 Monfort, Alain 1
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Journal of econometrics 1
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Pricing with finite dimensional dependence
Gouriéroux, Christian; Monfort, Alain - In: Journal of econometrics 187 (2015) 2, pp. 408-417
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