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Year of publication
Subject
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Stochastic clock 8 Stochastic process 7 Stochastischer Prozess 7 Theorie 4 Theory 4 stochastic clock 4 Incomplete market 3 Mathematical programming 3 Mathematische Optimierung 3 Option pricing theory 3 Optionspreistheorie 3 Portfolio selection 3 Portfolio-Management 3 Stochastic volatility 3 Unvollkommener Markt 3 Barrier options 2 Doubly stochastic binomial point process 2 Duality theory 2 First-passage time 2 Fractal Activity Time 2 Incomplete markets 2 Long range dependent 2 Market time deformation 2 Option trading 2 Optionsgeschäft 2 Utility maximization 2 Volatility 2 Volatilität 2 convex duality 2 incomplete markets 2 optimal investment 2 utility maximization 2 Analysis of variance 1 Asian-style options 1 Closed form solution 1 Derivat 1 Derivative 1 Erwartungsnutzen 1 Estimation theory 1 Expected utility 1
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Online availability
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Undetermined 7 Free 1
Type of publication
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Article 10 Book / Working Paper 2
Type of publication (narrower categories)
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Article in journal 7 Aufsatz in Zeitschrift 7
Language
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English 7 Undetermined 5
Author
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Mostovyi, Oleksii 4 McCulloch, James 3 Escobar, Marcos 2 Hieber, Peter 2 Scherer, Matthias 2 Carr, Peter 1 Deelstra, Griselda 1 Geman, Hélyette 1 Itkin, Andrey 1 Rayée, Grégory 1 Vanduffel, Steven 1 Yao, Jing 1
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Institution
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Finance Discipline Group, Business School 1 Université Paris-Dauphine (Paris IX) 1
Published in...
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Astin bulletin : the journal of the International Actuarial Association 1 Computational economics 1 Economics Papers from University Paris Dauphine 1 Finance and Stochastics 1 Finance and stochastics 1 Journal of Empirical Finance 1 Journal of empirical finance 1 Mathematical finance : an international journal of mathematics, statistics and financial economics 1 Mathematical finance : an international journal of mathematics, statistics and financial theory 1 Research Paper Series / Finance Discipline Group, Business School 1 Review of Derivatives Research 1 Review of derivatives research 1
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Source
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ECONIS (ZBW) 7 RePEc 5
Showing 11 - 12 of 12
Cover Image
Fractal market time
McCulloch, James - In: Journal of empirical finance 19 (2012) 5, pp. 686-701
Persistent link: https://www.econbiz.de/10009700607
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Cover Image
From Measure Changes to Time Changes in Asset Pricing
Geman, Hélyette - Université Paris-Dauphine (Paris IX) - 2005
–56] allow us to write it as Brownian motion as long as we are willing to change the time. The appropriate stochastic clock can …
Persistent link: https://www.econbiz.de/10011072416
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