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Black-Scholes-Merton model 1 Caps 1 Floors 1 Inflated probabilities 1 Interest rate 1 Negative interest rate 1 Negative probabilities 1
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Burgin, Mark 1 Meissner, Gunter 1
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Review of Economics & Finance 1
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Larger than One Probabilities in Mathematical and Practical Finance
Burgin, Mark; Meissner, Gunter - In: Review of Economics & Finance 2 (2012) November, pp. 1-13
Traditionally probability is considered as a function that takes values in the interval [0, 1]. However, researchers found that negative, as well as larger than 1 probabilities could be a useful tool in making financial modeling more exact and flexible. Here we show how larger than 1...
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