Transform analysis and asset pricing for affine jump-diffusions
Year of publication: |
2000
|
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Authors: | Duffie, Darrell ; Pan, Jun ; Singleton, Kenneth J. |
Published in: |
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics. - [Wechselnde Erscheinungsorte] : [Wechselnde Verlage], ISSN 0012-9682, ZDB-ID 1798-X. - Vol. 68.2000, 6, p. 1343-1376
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Subject: | CAPM | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Theorie | Theory |
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