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~institution:"Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München"
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It\^o's formula
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arbitrage-free
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exponential Poisson process
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Jamshidian, Farshid
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
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Department of Economics, University of Kansas
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
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Wirtschaftswissenschaftliche Fakultät, Leibniz Universität Hannover
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Does Coarse Thinking Matter for Option Pricing? Evidence from an Experiment
Siddiqi, Hammad
-
Volkswirtschaftliche Fakultät, …
-
2009
test this hypothesis in an experiment on financial options against the benchmark of
arbitrage-free
pricing. Firstly, we …
Persistent link: https://www.econbiz.de/10005619287
Saved in:
2
Numeraire Invariance and application to Option Pricing and Hedging
Jamshidian, Farshid
-
Volkswirtschaftliche Fakultät, …
-
2008
. It emphasizes application to unique pricing in
arbitrage-free
model, the derivation of hedge ratios and the PDE when …
Persistent link: https://www.econbiz.de/10005787005
Saved in:
3
Exchange Options
Jamshidian, Farshid
-
Volkswirtschaftliche Fakultät, …
-
2007
sketched in an
arbitrage-free
semimartingale setting. Focus is maintained on construction of a hedge using Ito's formula and on …
Persistent link: https://www.econbiz.de/10005619898
Saved in:
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