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~isPartOf:"Documents de travail du Centre d'Economie de la Sorbonne"
~isPartOf:"Post-Print / HAL"
~person:"Ielpo, Florian"
~subject:"Stochastic Discount Factor"
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Stochastic Discount Factor
CAC 40
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Option pricing
4
incomplete market
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exponential affine stochastic discount factor
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Generalized hyperbolic distribution
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Lévy processess
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Minimal Entropy Martingale Measure
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S&P 500
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martingale correction
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option pricing
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CAC40
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Generalized Hyperbolic Distribution
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Incomplete market
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Lévy processes
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Martingale Correction
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minimal entropy martingale measure
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stochastic discount factor
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Ielpo, Florian
Chorro, Christophe
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Guegan, Dominique
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Documents de travail du Centre d'Economie de la Sorbonne
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Martingalized Historical approach for Option Pricing
Chorro, Christophe
;
Guegan, Dominique
;
Ielpo, Florian
-
HAL
-
2010
the affine
stochastic
discount
factor
(SDF) and the empirical martingale correction methodologies. Using a CAC 40 options …
Persistent link: https://www.econbiz.de/10010738536
Saved in:
2
Martingalized Historical approach for Option Pricing
Chorro, Christophe
;
Guegan, Dominique
;
Ielpo, Florian
-
HAL
-
2009
the affine
stochastic
discount
factor
and the empirical martingale correction methodologies. Using a CAC 40 options …
Persistent link: https://www.econbiz.de/10010738694
Saved in:
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