Momentum and reversion in risk neutral martingale probabilities (Q5245350): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1080/14697688.2014.896999
+Normal rank
@@ Property / OpenAlex ID @@
+W3123983465
@@ Property / OpenAlex ID: W3123983465 / rank @@
+Normal rank
@@ Property / cites work @@
+Processes of normal inverse Gaussian type
@@ Property / cites work: Processes of normal inverse Gaussian type / rank @@
+Normal rank
@@ Property / cites work @@
+Uniqueness in law for pure jump Markov processes
@@ Property / cites work: Uniqueness in law for pure jump Markov processes / rank @@
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Volatility for Lévy Processes
@@ Property / cites work: Stochastic Volatility for Lévy Processes / rank @@
+Normal rank
@@ Property / cites work @@
+SELF-DECOMPOSABILITY AND OPTION PRICING
@@ Property / cites work: SELF-DECOMPOSABILITY AND OPTION PRICING / rank @@
+Normal rank
@@ Property / cites work @@
+THE RANGE OF TRADED OPTION PRICES
@@ Property / cites work: THE RANGE OF TRADED OPTION PRICES / rank @@
+Normal rank
@@ Property / cites work @@
+Affine processes and applications in finance
@@ Property / cites work: Affine processes and applications in finance / rank @@
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Q5541647
@@ Property / cites work: Q5541647 / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing using variance gamma Markov chains
@@ Property / cites work: Option pricing using variance gamma Markov chains / rank @@
+Normal rank
@@ Property / cites work @@
+The Variance Gamma Process and Option Pricing
@@ Property / cites work: The Variance Gamma Process and Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+The valuation of structured products using Markov chain models
+Normal rank
@@ Property / cites work @@
+CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES
+Normal rank
@@ Property / cites work @@
+Conditional Heteroskedasticity in Asset Returns: A New Approach
+Normal rank
@@ Property / cites work @@
+Diffusion processes associated with L�vy generators
+Normal rank
@@ Property / cites work @@
+Q3862204
@@ Property / cites work: Q3862204 / rank @@
+Normal rank