A note on the suboptimality of path-dependent pay-offs in Lévy markets
Year of publication: |
2009
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Authors: | Vanduffel, Steven ; Chernih, Andrew ; Maj, Matheusz ; Schoutens, Wim |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 16.2009, 3/4, p. 315-330
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Subject: | Theorie | Theory | Martingal | Martingale | Kapitaleinkommen | Capital income | Black-Scholes-Modell | Black-Scholes model | Risikoaversion | Risk aversion | Investitionsrisiko | Investment risk | Kapitalanlage | Financial investment |
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