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~person:"Palma, André de"
~person:"Stentoft, Lars"
~isPartOf:"Cahiers de recherche"
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option pricing
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Palma, André de
Stentoft, Lars
Dionne, Georges
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DUFOUR, Jean-Marie
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Gordon, Stephen
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Multivariate Option
Pricing
with Time Varying Volatility and Correlations
Rombouts, Jeroen V.K.
;
Stentoft, Lars
-
Centre Interuniversitaire sur le Risque, les Politiques …
-
2010
to option
pricing
. Specifically, we derive the risk neutral dynamics for a general class of multivariate heteroskedastic …
Persistent link: https://www.econbiz.de/10008595653
Saved in:
2
Bayesian Option
Pricing
Using Mixed Normal Heteroskedasticity Models
Rombouts, Jeroen V.K.
;
Stentoft, Lars
-
Centre Interuniversitaire sur le Risque, les Politiques …
-
2009
While stochastic volatility models improve on the option
pricing
error when compared to the Black-Scholes-Merton model …
Persistent link: https://www.econbiz.de/10008528563
Saved in:
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