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  • Search: subject:"L´evy processes"
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Year of publication
Subject
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L´evy processes 1 Option pricing theory 1 Optionspreistheorie 1 Real options analysis 1 Realoptionsansatz 1 Risk premium 1 Search theory 1 Stochastic process 1 Stochastischer Prozess 1 Suchtheorie 1 exponential L´evy processes 1 free-boundary problems 1 liquidity 1 maturity-randomization 1 optimal stopping 1 real options 1 recursive preferences 1 time change 1 tradeability 1
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Online availability
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Free 2
Type of publication
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Article 1 Book / Working Paper 1
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
All
Mathys, Ludovic 1 Shaliastovich, Ivan 1 Tauchen, George 1
Institution
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Duke University, Department of Economics 1
Published in...
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Quantitative finance and economics 1 Working Papers / Duke University, Department of Economics 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Valuing tradeability in exponential Lévy models
Mathys, Ludovic - In: Quantitative finance and economics 4 (2020) 3, pp. 459-488
Persistent link: https://www.econbiz.de/10012271474
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Cover Image
Pricing of the Time-Change Risks
Shaliastovich, Ivan; Tauchen, George - Duke University, Department of Economics - 2009
We develop a discrete-time real endowment economy featuring recursive preferences and a L´evy time-change subordinator, which represents a clock that connects business time to calendar time. This setup provides a convenient equilibrium framework for pricing non-Gaussian risks, with closed-form...
Persistent link: https://www.econbiz.de/10008764957
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