Option pricing with discrete time jump processes.
Year of publication: |
2011-06
|
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Authors: | Guegan, Dominique ; Ielpo, Florian ; Lalaharison, Hanjarivo |
Institutions: | Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) |
Subject: | Option pricing | Lévy processes | exponential affine stochastic discount factor | minimal entropy martingale measure | CAC 40 | S&P 500 |
Extent: | application/pdf |
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Series: | Documents de travail du Centre d'Economie de la Sorbonne. - ISSN 1955-611X. |
Type of publication: | Book / Working Paper |
Notes: | 42 pages |
Classification: | G1 - General Financial Markets ; C5 - Econometric Modeling |
Source: |
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Option pricing with discrete time jump processes.
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