Finite Mixture Approximation of CARMA(p,q) Models
نویسندگان
چکیده
Related DatabasesWeb of Science You must be logged in with an active subscription to view this.Article DataHistorySubmitted: 30 September 2020Accepted: 22 June 2021Published online: 26 October 2021Keywordscontinuous-time ARMA processes, transition density, pricing derivativesAMS Subject Headings60G99, 91G60, 91G80Publication DataISSN (online): 1945-497XPublisher: Society for Industrial and Applied MathematicsCODEN: sjfmbj
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ژورنال
عنوان ژورنال: Siam Journal on Financial Mathematics
سال: 2021
ISSN: ['1945-497X']
DOI: https://doi.org/10.1137/20m1363248