Spara
Pricing of Bond Options
Författare:
häftad, 2008
Engelska
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.
- Undertitel
- Unspanned Stochastic Volatility and Random Field Models
- Författare
- Detlef Repplinger
- Upplaga
- 2008 ed.
- ISBN
- 9783540707219
- Språk
- Engelska
- Vikt
- 310 gram
- Utgivningsdatum
- 2008-09-02
- Sidor
- 138
