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Derivative pricing
1
Dual Market Method
1
Levy processes
1
Lévy processes
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Option pricing
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Symmetry
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diffusion
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jumps
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stochastic volatility
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Fajardo, José
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Huang, Jing-zhi
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Mordecki, Ernesto
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Wu, Liuren
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Econometric Society
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
6
Collegio Carlo Alberto, Università degli Studi di Torino
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EconWPA
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School of Economics and Management, University of Aarhus
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IBMEC Business School - Rio de Janeiro
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HAL
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Institut für Mathematische Wirtschaftsforschung, Universität Bielefeld
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Université Paris-Dauphine (Paris IX)
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Departamento de Estadistica, Universidad Carlos III de Madrid
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International Centre for Economic Research (ICER)
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
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University of Stellenbosch. Faculty of Science. Dept. of Mathematical Sciences.
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Birkbeck, Department of Economics, Mathematics & Statistics
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Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
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University of Bonn, Germany
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Econometric Society 2004 North American Winter Meetings
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RePEc
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Specification Analysis of Option Pricing Models Based on Time-Changed
Levy
Processes
Huang, Jing-zhi
;
Wu, Liuren
-
Econometric Society
-
2004
This article analyzes the specifications of option pricing models based on time-changed
Levy
processes
. We classify …
Persistent link: https://www.econbiz.de/10005699646
Saved in:
2
Pricing Derivatives on Two Lé}vy-driven Stocks
Mordecki, Ernesto
;
Fajardo, José
-
Econometric Society
-
2004
Lévy process. The main idea is to apply Girsanov's Theorem for
Lévy
processes
, in order to reduce the posed problem to the …
Persistent link: https://www.econbiz.de/10005699662
Saved in:
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