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Pricing of Bond Options
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Pricing of Bond Options

The USV models postulate a correlation between the bond price dynamics and the subordinated stochastic volatility process, whereas Random Field models allow for a deterministic correlation structure between bond prices of different terms.
Undertittel
Unspanned Stochastic Volatility and Random Field Models
Opplag
2008 ed.
ISBN
9783540707219
Språk
Engelsk
Vekt
310 gram
Utgivelsesdato
2.9.2008
Antall sider
138