On valuing stochastic perpetuities using new long horizon stock price models distinguishing booms, busts, and balanced markets
Year of publication: |
April 2016
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Authors: | Madan, Dilip B. ; Yor, Marc |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 26.2016, 2, p. 296-328
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Subject: | martingale limits | variance gamma | generalized gamma convolution | discounting process | abnormal earnings | Börsenkurs | Share price | Stochastischer Prozess | Stochastic process | Martingal | Martingale | Kapitaleinkommen | Capital income | Optionspreistheorie | Option pricing theory |
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