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~isPartOf:"Computing in Economics and Finance 2005"
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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 …
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