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Society for Computational Economics - SCE
Dipartimento di Scienze Economiche e Aziendali, Università degli Studi di Pavia
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Option Pricing and the Implied Tail Index with the Generalized Extreme Value (GEV) Distribution
Markose, Sheri
;
Alentorn, Amadeo
-
Society for Computational Economics - SCE
-
2005
the case of lognormal models. This paper argues that the use of the Generalized
Extreme
Value
Distribution
(GEV) for asset …
Persistent link: https://www.econbiz.de/10005343048
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