A Continuous Time Arbitrage Pricing Model with Stochastic Volatility and Jumps
Research output: Contribution to journal › Journal article › Research › peer-review
Standard
A Continuous Time Arbitrage Pricing Model with Stochastic Volatility and Jumps. / Ho, Mun; Perraudin, Willian; Sørensen, Bent Ejlif.
In: Journal of Business and Economic Statistics, Vol. 14, No. 1, 1996, p. 31-43.Research output: Contribution to journal › Journal article › Research › peer-review
Harvard
Ho, M, Perraudin, W & Sørensen, BE 1996, 'A Continuous Time Arbitrage Pricing Model with Stochastic Volatility and Jumps', Journal of Business and Economic Statistics, vol. 14, no. 1, pp. 31-43. <http://links.jstor.org/sici?sici=0735-0015%28199601%2914%3A1%3C31%3AACAMWS%3E2.0.CO%3B2-D>
APA
Ho, M., Perraudin, W., & Sørensen, B. E. (1996). A Continuous Time Arbitrage Pricing Model with Stochastic Volatility and Jumps. Journal of Business and Economic Statistics, 14(1), 31-43. http://links.jstor.org/sici?sici=0735-0015%28199601%2914%3A1%3C31%3AACAMWS%3E2.0.CO%3B2-D
Vancouver
Ho M, Perraudin W, Sørensen BE. A Continuous Time Arbitrage Pricing Model with Stochastic Volatility and Jumps. Journal of Business and Economic Statistics. 1996;14(1):31-43.
Author
Bibtex
@article{bcdfc5d074c611dbbee902004c4f4f50,
title = "A Continuous Time Arbitrage Pricing Model with Stochastic Volatility and Jumps",
author = "Mun Ho and Willian Perraudin and S{\o}rensen, {Bent Ejlif}",
year = "1996",
language = "English",
volume = "14",
pages = "31--43",
journal = "Journal of Business and Economic Statistics",
issn = "0735-0015",
publisher = "Taylor & Francis",
number = "1",
}
RIS
TY - JOUR
T1 - A Continuous Time Arbitrage Pricing Model with Stochastic Volatility and Jumps
AU - Ho, Mun
AU - Perraudin, Willian
AU - Sørensen, Bent Ejlif
PY - 1996
Y1 - 1996
M3 - Journal article
VL - 14
SP - 31
EP - 43
JO - Journal of Business and Economic Statistics
JF - Journal of Business and Economic Statistics
SN - 0735-0015
IS - 1
ER -
ID: 156123