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~institution:"Economics Institute for Research (SIR), Handelshögskolan i Stockholm"
~institution:"Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München"
~person:"Berka, Martin"
~person:"Brogi, Athos"
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Search: subject:"Arbitrage"
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volatility
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Arbitrage trade
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martingale
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Berka, Martin
Brogi, Athos
Magni, Carlo Alberto
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Björk, Tomas
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Ojo, Marianne
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Gray, Wesley
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Hirshleifer, David
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Ivanov, Sergei
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Bianchetti, Marco
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FARUQUE, MUHAMMAD U
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Economics Institute for Research (SIR), Handelshögskolan i Stockholm
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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A binomial tree to price European options
Brogi, Athos
-
Volkswirtschaftliche Fakultät, …
-
2010
A time-changing volatility binomial tree to price European options is presented followed by an algorithm explaining how to implement the tree. Finally, the advantages of the model are listed.
Persistent link: https://www.econbiz.de/10009323641
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2
General Equilibrium Model of
Arbitrage
Trade and Real Exchange Rate Persistence
Berka, Martin
-
Volkswirtschaftliche Fakultät, …
-
2005
two-country, three-good general equilibrium model,
arbitrage
firms trade goods across borders using a linear … transportation technology. Distance and product weights (their physical mass) determine the costs to
arbitrage
trade, while the …
Persistent link: https://www.econbiz.de/10005836010
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