Browsing by Subject "Option pricing"

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    • Latent Stick-Breaking Processes. 

      Rodríguez, Abel; Dunson, David B; Gelfand, Alan E (J Am Stat Assoc, 2010-04-01)
      We develop a model for stochastic processes with random marginal distributions. Our model relies on a stick-breaking construction for the marginal distribution of the process, and introduces dependence across locations by ...