No-armageddon measure for arbitrage-free pricing of index options in a credit crisis
Year of publication: |
2011
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Authors: | Morini, Massimo ; Brigo, Damiano |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 21.2011, 4, p. 573-593
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Subject: | Index-Futures | Index futures | Finanzkrise | Financial crisis | Optionspreistheorie | Option pricing theory | Messung | Measurement | Preisindex | Price index | Index | Index number |
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