Long-range dependence in the risk-neutral measure for the market on Lehman Brothers Collapse
Year of publication: |
September 2016
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Authors: | Kim, Young Shin |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 23.2016, 3/4, p. 309-322
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Subject: | Option pricing | fractional normal tempered stable (NTS) process | long-range dependence | fractional Lévy process | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis | Statistische Verteilung | Statistical distribution |
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