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~institution:"Anderson Graduate School of Management, University of California-Los Angeles (UCLA)"
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CCAPM
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American put option
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Optimal exercise policy
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equity premium puzzle
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equity premiums
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geometric Brownian motion
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geometric Poisson process
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historical equity premiums
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incomplete markets
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optimal stopping
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perpetual American put option
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perpetual option
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risk free rate puzzle
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Aase, Knut K
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Anderson Graduate School of Management, University of California-Los Angeles (UCLA)
National Bureau of Economic Research
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Centre for Analytical Finance <Århus>
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Center for Economic Research <Tilburg>
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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University of California at Los Angeles, Anderson Graduate School of Management
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Using Option Pricing Theory to Infer About Historical Equity Premiums
Aase, Knut K
-
Anderson Graduate School of Management, University of …
-
2005
the prices of an American perpetual
put
option
computed using two different models: One is the standard model with …
Persistent link: https://www.econbiz.de/10010536040
Saved in:
2
"The perpetual American
put
option
for jump-diffusions with applications"
Aase, Knut K
-
Anderson Graduate School of Management, University of …
-
2005
jump-diffusion. Under certain conditions our solution can be interpreted as the price of an American perpetual
put
option
…
Persistent link: https://www.econbiz.de/10010536086
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