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pro vyhledávání: '"Tebaldi, Claudio"'
Publikováno v:
Quantitative Finance, 8, 6, 591-604
We consider a model for a single risky asset whose volatility follows a multifactor (matrix)Wishart affine process, recently introduced in finance by Gourieroux and Sufana (2004). As in standard Duffie and Kan (1996) affine models the pricing problem
Externí odkaz:
http://www.ssoar.info/ssoar/handle/document/22112