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On the foundations of Lévy fin...
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1
Determination of the Lévy exponent in asset pricing models
Bouzianis, George
;
Hughston, Lane P.
- In:
International journal of theoretical and applied finance
22
(
2019
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012012832
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2
Financial equilibrium with asymmetric information and random horizon
Çetin, Umut
- In:
Finance and stochastics
22
(
2018
)
1
,
pp. 97-126
Persistent link: https://www.econbiz.de/10011945630
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3
Continuity of marketable payoffs with re-trading
Bonnisseau, Jean-Marc
;
Chéry, Achis
- In:
Economic theory
75
(
2023
)
1
,
pp. 31-53
Persistent link: https://www.econbiz.de/10013488820
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4
New formulations of ambiguous volatility with an application to optimal dynamic contracting
Hansen, Peter G.
- In:
Journal of economic theory
199
(
2022
),
pp. 1-31
Persistent link: https://www.econbiz.de/10013193348
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5
An alternative nonparametric tail risk measure
Law, Keith K. F.
;
Li, Wai Keung
;
Yu, Philip L. H.
- In:
Quantitative finance
21
(
2021
)
4
,
pp. 685-696
Persistent link: https://www.econbiz.de/10012483847
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6
Computational methods for production-based asset pricing models with recursive utility
Aldrich, Eric Mark
;
Kung, Howard
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
1
,
pp. 1-26
Persistent link: https://www.econbiz.de/10012437836
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7
Macroeconomic factors strike back : a Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section
Bianchi, Daniele
;
Guidolin, Massimo
;
Ravazzolo, Francesco
- In:
Journal of business & economic statistics : JBES ; a …
35
(
2017
)
1
,
pp. 110-129
Persistent link: https://www.econbiz.de/10011704120
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8
Doubts and variability : a robust perspective on exotic consumption series
Bidder, R. M.
;
Smith, M. E.
- In:
Journal of economic theory
175
(
2018
),
pp. 689-712
Persistent link: https://www.econbiz.de/10011980773
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9
Robust asset pricing with stochastic hyperbolic discounting
Wang, Haijun
- In:
Finance research letters
21
(
2017
),
pp. 178-185
Persistent link: https://www.econbiz.de/10011807766
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10
Recovery with unbounded diffusion processes
Walden, Johan
- In:
Review of finance : journal of the European Finance …
21
(
2017
)
4
,
pp. 1403-1444
Persistent link: https://www.econbiz.de/10011803839
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