This paper investigates theoretical and practical aspects of options that are based upon two or more assets which are co-integrated. For this purpose, a new, discrete-time model of asset prices is developed, a model featuring both the co-integration property as well as stochastic volatilities. Using
The Integrability Problem of Asset Prices
β Scribed by Susheng Wang
- Book ID
- 112257316
- Publisher
- Elsevier Science
- Year
- 1993
- Tongue
- English
- Weight
- 437 KB
- Volume
- 59
- Category
- Article
- ISSN
- 0022-0531
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