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Generalized Extreme Value Distribution
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Implied Tail Index
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Risk neutral probability density function
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English
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Alentorn, Amadeo
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Markose, Sheri
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Society for Computational Economics - SCE
Banco de México
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Department of Econometrics and Business Statistics, Monash Business School
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Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
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Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
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HEC Paris (École des Hautes Études Commerciales)
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Computing in Economics and Finance 2005
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Option Pricing and the Implied Tail Index with the
Generalized
Extreme
Value
(GEV) Distribution
Markose, Sheri
;
Alentorn, Amadeo
-
Society for Computational Economics - SCE
-
2005
the case of lognormal models. This paper argues that the use of the
Generalized
Extreme
Value
Distribution (GEV) for asset …
Persistent link: https://www.econbiz.de/10005343048
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