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  • Search: subject:"Hermite processes"
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Subject
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Hermite processes 2 Arbitrage 1 Arbitrage Pricing 1 Arbitrage pricing 1 Asymptotic normality 1 Covariance 1 Derivat 1 Derivative 1 Linear processes 1 Long-range dependence 1 Option pricing theory 1 Optionspreistheorie 1 Rosenblatt distribution 1 Rosenblatt processes 1 Stochastic process 1 Stochastischer Prozess 1 arbitrage tax 1 fractional Brownian motion 1 no-arbitrage 1 per-petual derivatives 1
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Undetermined 2
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Article 2
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Fabozzi, Frank J. 1 Ho, Hwai-Chung 1 Mittnik, Stefan 1 Račev, Svetlozar T. 1 Stoyanov, Stoyan V. 1 Wendler, Martin 1 Wu, Wei Biao 1 Zhang, Ting 1
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International journal of theoretical and applied finance 1 Stochastic Processes and their Applications 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Pricing derivatives in hermite markets
Stoyanov, Stoyan V.; Račev, Svetlozar T.; Mittnik, Stefan - In: International journal of theoretical and applied finance 22 (2019) 6, pp. 1-27
Persistent link: https://www.econbiz.de/10012153100
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Block sampling under strong dependence
Zhang, Ting; Ho, Hwai-Chung; Wendler, Martin; Wu, Wei Biao - In: Stochastic Processes and their Applications 123 (2013) 6, pp. 2323-2339
The paper considers the block sampling method for long-range dependent processes. Our theory generalizes earlier ones by Hall et al. (1998) [11] on functionals of Gaussian processes and Nordman and Lahiri (2005) [16] on linear processes. In particular, we allow nonlinear transforms of linear...
Persistent link: https://www.econbiz.de/10011065039
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