Platen, Eckhard; Hulley, Hardy - Finance Discipline Group, Business School - 2008
models based on Levy processes. These all have their own shortcomings, and evidence suggests that none is up to the task of … difiusion models, and models based on L¶evy
processes. These all have their own shortcomings, and evidence sug-
gests that none …; minimal market model; squared Bessel processes; hedge sim-
ulations; asset price bubbles.
Date: February 12, 2008.
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