Franco, Sebastian; Sviščuk, Anatolij - In: Risks : open access journal 11 (2023) 8, pp. 1-30
by so-called pseudo-statistics, namely, the pseudo-variance, -covariance, -volatility, and -correlation. The main … motivation of this paper is to consider the pricing of swaps based on pseudo-statistics, instead of stochastic models, and to …) using pseudo-statistics (pseudo-variance, pseudo-volatility, pseudo-correlation, and pseudo-covariance). As a result, we …