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  • Search: subject:"Propagation of convexity"
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Contingent claim valuation 1 Convex concentration 1 Price orderings 1 Propagation of convexity 1 Semimartingale model 1 jump-diffusion processes 1 option prices 1 propagation of convexity property 1
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Article 2
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BRETON, JEAN-CHRISTOPHE 1 Bergenthum, Jan 1 PRIVAULT, NICOLAS 1 Rüschendorf, Ludger 1
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Finance and Stochastics 1 International Journal of Theoretical and Applied Finance (IJTAF) 1
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RePEc 2
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BOUNDS ON OPTION PRICES IN POINT PROCESS DIFFUSION MODELS
BRETON, JEAN-CHRISTOPHE; PRIVAULT, NICOLAS - In: International Journal of Theoretical and Applied … 11 (2008) 06, pp. 597-610
components. Our proofs rely in general on the classical Kolmogorov equation argument and on the propagation of convexity property …
Persistent link: https://www.econbiz.de/10005060220
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Cover Image
Comparison of Option Prices in Semimartingale Models
Bergenthum, Jan; Rüschendorf, Ludger - In: Finance and Stochastics 10 (2006) 2, pp. 222-249
Persistent link: https://www.econbiz.de/10005390733
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