The role of jumps and options in the risk premia of interest rates
Bruno Lund
Year of publication: |
2018
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Authors: | Lund, Bruno |
Published in: |
Brazilian review of econometrics : BRE ; the review of the Brazilian Econometric Society. - Rio de Janeiro : [Verlag nicht ermittelbar], ISSN 1980-2447, ZDB-ID 2392364-7. - Vol. 38.2018, 2, p. 263-285
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Subject: | Jumps | option pricing | term structure | Poisson process | affine process | market price of risk | Asian options | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Risikoprämie | Risk premium | Optionsgeschäft | Option trading | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | CAPM |
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