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Multivariate option pricing with time varying volatility and correlations
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- 707.47 K
Document type | Document de travail (Working Paper) |
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Access type | Accès libre |
Publication date | 2010 |
Language | Anglais |
Collection | CORE Discussion Paper - 2010/20 |
Affiliations |
HEC
- Institute of Applied Economics, CIRANO and CIRPEE HEC - Department of Finance, CIRANO, CIRPEE, CREATES |
Keywords | multivariate risk premia ; option pricing ; GARCH models |
Links |
Bibliographic reference | Rombouts, Jeroen ; Stentoft, Lars. Multivariate option pricing with time varying volatility and correlations. CORE Discussion Paper ; 2010/20 (2010) |
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Permanent URL | http://hdl.handle.net/2078.1/32265 |