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  • Search: subject:"Time Jump processes"
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Subject
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CAC 40 2 Exponential affine stochastic discount factor 2 Minimal Entropy Martingale Measure 2 Option pricing 2 S&P 500 2 Time Jump processes 2 CAPM 1 Derivat 1 Derivative 1 Discounting 1 Diskontierung 1 Entropie 1 Entropy 1 Incomplete market 1 Martingal 1 Martingale 1 Option pricing theory 1 Optionspreistheorie 1 Stochastic process 1 Stochastischer Prozess 1 Unvollkommener Markt 1 Volatility 1 Volatilität 1
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1 Undetermined 1
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Guégan, Dominique 2 Ielpo, Florian 2 Lalaharison, Hanjarivo 2
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Journal of Economic Dynamics and Control 1 Journal of economic dynamics & control 1
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ECONIS (ZBW) 1 RePEc 1
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Option pricing with discrete time jump processes
Guégan, Dominique; Ielpo, Florian; Lalaharison, Hanjarivo - In: Journal of Economic Dynamics and Control 37 (2013) 12, pp. 2417-2445
In this paper we propose new option pricing models based on class of models with jumps contained in the Lévy-type based models (NIG-Lévy, Schoutens, 2003, Merton-jump, Merton, 1976 and Duan based model, Duan et al., 2007). By combining these different classes of models with several volatility...
Persistent link: https://www.econbiz.de/10010719552
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Cover Image
Option pricing with discrete time jump processes
Guégan, Dominique; Ielpo, Florian; Lalaharison, Hanjarivo - In: Journal of economic dynamics & control 37 (2013) 12, pp. 2417-2445
Persistent link: https://www.econbiz.de/10010348134
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