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Pricing and managing risks of European-style options in a Markovian regime-switching binomial model
Fard, Farzad
;
Siu, Tak
- In:
Annals of Finance
9
(
2013
)
3
,
pp. 421-438
the minimal entropy
martingale
measure
, we determine a pricing kernel. We examine numerically the performance of a simple …
Persistent link: https://www.econbiz.de/10010866517
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2
Diversity and arbitrage in a regulatory breakup model
Strong, Winslow
;
Fouque, Jean-Pierre
- In:
Annals of Finance
7
(
2011
)
3
,
pp. 349-374
Persistent link: https://www.econbiz.de/10009326712
Saved in:
3
Balance, growth and diversity of financial markets
Kardaras, Constantinos
- In:
Annals of Finance
4
(
2008
)
3
,
pp. 369-397
Persistent link: https://www.econbiz.de/10005542188
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