Conditional density models for asset pricing
Year of publication: |
2012
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Authors: | Filipović, Damir ; Hughston, Lane P. ; Macrina, Andrea |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 15.2012, 1, p. 1-24
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Subject: | Volatility surface | option pricing | implied volatility | Bachelier model | information-based asset pricing | nonlinear filtering | Breeden-Litzenberger equation | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading | CAPM | Börsenkurs | Share price |
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