Testing the martingale restriction for option implied densities
Year of publication: |
2008
|
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Authors: | Busch, Thomas |
Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 11.2008, 1/2, p. 61-81
|
Subject: | Prognoseverfahren | Forecasting model | Optionspreistheorie | Option pricing theory | Risikomanagement | Risk management | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Devisenoption | Currency option | US-Dollar | US dollar | Pfund Sterling | Pound Sterling | Theorie | Theory | Statistische Verteilung | Statistical distribution | Martingal | Martingale |
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