Arbitrage-Based Pricing when Volatility is Stochastic

Peter L. Bossaerts (), Eric Ghysels () and Christian S. Gourieroux

Cahiers de recherche from Universite de Montreal, Departement de sciences economiques

Abstract: The paper investigates the pricing of derivative securities with calendar-time maturities.

JEL-codes: D80 D81 G10 G11 G12 (search for similar items in EconPapers)
Date: 1996

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http://hdl.handle.net/1866/2051 (application/pdf)

Related works:
Working Paper: Arbitrage Based Pricing When Volatility Is Stochastic (1996)
Working Paper: Arbitrage-Based Pricing When Volatility is Stochastic (1996)
Working Paper: Arbitrage-Based Pricing when Volatility is Stochastic (1996)
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Persistent link: http://EconPapers.repec.org/RePEc:mtl:montde:9615

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