m-Double Poisson Lévy markets (Q5139259): Difference between revisions

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+MaRDI publication profile
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+https://doi.org/10.1080/14697688.2020.1747633
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+W3025611681
@@ Property / OpenAlex ID: W3025611681 / rank @@
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@@ Property / cites work @@
+Portfolio choice with jumps: a closed-form solution
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+Lévy Processes and Stochastic Calculus
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+A Theory of Volatility Spreads
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+Optimal demand in a mispriced asymmetric Carr-Geman-Madan-Yor (CGMY) economy
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+A mispricing model of stocks under asymmetric information
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+A jump model for fads in asset prices under asymmetric information
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+Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets
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+Optimal portfolio allocation with higher moments
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+Asymmetric information in fads models
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+Portfolio selection with higher moments
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+Modelling fundamental analysis in portfolio selection
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+Publication:5139259