مرکز منطقه ای اطلاع رساني علوم و فناوري - Option valuation with co-integrated asset prices

Title of article :

Option valuation with co-integrated asset prices

Author/Authors :

Jin-Chuan Duan، نويسنده , , Stanley R. Pliska، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2004

Pages :

From page :

727

To page :

754

Keywords :

Co-integration , Option valuation , GARCH , Spread options , Di7usion limit

Journal title :

Journal of Economic Dynamics and Control

Serial Year :

2004

Journal title :

Journal of Economic Dynamics and Control

Record number :

238616

Link To Document :