Short maturity options for Azéma-Yor martingales
Year of publication: |
December 2015
|
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Authors: | Zhu, Lingjiong |
Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 2.2015, 4, p. 1-32
|
Subject: | Option pricing | short maturity | Azéma-Yor martingales | large deviations | variational problem | Martingal | Martingale | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Derivat | Derivative | Fälligkeit | Maturity |
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