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  • Search: subject:"alpha-root process"
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CIR 1 Cox-Ingersoll-Ross 1 Levy process 1 alpha-root process 1 square-root process 1 stable process 1 term-structure model 1 volatility smile 1
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Free 1
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Book / Working Paper 1
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Undetermined 1
Author
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Balakrishna, BS 1
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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MPRA Paper 1
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RePEc 1
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Alpha-root Processes for Derivatives pricing
Balakrishna, BS - Volkswirtschaftliche Fakultät, … - 2010
A class of mean reverting positive stochastic processes driven by alpha-stable distributions, 1=alpha2, are discussed. They are referred to as alpha-root processes in analogy to the square root process or the Cox-Ingersoll-Ross process derived from the Brownian motion. They are affine models in...
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