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Sonderforschungsbereich 504, Rationalitätskonzepte, Entscheidungsverhalten und Ökonomische Modellierung
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An analysis of long-term influences on financial markets, uncertainty and the sustainability of fiscal balances
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Konzeption eines Handelssystems auf Basis des Mean-Reversion-Effektes der Volatilität
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Pricing of Derivatives on Mean-Reverting Assets
Lutz, Björn
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2010
Mean Reversion in Commodity Prices -- Fundamentals of Derivative Pricing -- Stochastic Volatility Models -- Integration of Jump Components -- Stochastic Equilibrium Level of the Underlying Process -- Deterministic Seasonality Effects -- Conclusion
Persistent link: https://www.econbiz.de/10013522771
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