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Analysis of variance 1 Apfel 1 Apple 1 Apple and Google data 1 CIR model 1 Correlation 1 Estimation theory 1 Korrelation 1 Schätztheorie 1 Swap 1 Varianzanalyse 1 Volatility 1 Volatilität 1 correlation swaps 1 covariance 1 pseudo-statistics 1 pseudo-swaps 1 variance 1 volatility 1
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English 1
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Franco, Sebastian 1 Sviščuk, Anatolij 1
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Risks : open access journal 1
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Pricing of pseudo-swaps based on pseudo-statistics
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 …
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