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  • Search: subject:"jump-diffusion process with modulated frequency and amplitude"
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Aktienindex 1 Esscher transform 1 Index futures 1 Index-Futures 1 Option pricing theory 1 Optionspreistheorie 1 Stochastic process 1 Stochastischer Prozess 1 Stock index 1 Volatility 1 Volatilität 1 characteristic function pricing approach 1 jump-diffusion process with modulated frequency and amplitude 1 volatility clustering 1 volatility smile 1
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1
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Lee, Jia-Ching 1 Lin, Chao-Yang 1 Lin, Shih-kuei 1 Liu, Huimei 1
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Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets 1
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ECONIS (ZBW) 1
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Stock index options pricing under jump patterns driven by market states
Lin, Chao-Yang; Liu, Huimei; Lee, Jia-Ching; Lin, Shih-kuei - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 4, pp. 840-859
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