Long-Range Dependence in the Risk-Neutral Measure for the Market on Lehman Brothers Collapse (Q4585680): Difference between revisions

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Latest revision as of 14:06, 16 July 2024

scientific article; zbMATH DE number 6933340
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English
Long-Range Dependence in the Risk-Neutral Measure for the Market on Lehman Brothers Collapse
scientific article; zbMATH DE number 6933340

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    Long-Range Dependence in the Risk-Neutral Measure for the Market on Lehman Brothers Collapse (English)
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    6 September 2018
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    option pricing
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    fractional normal tempered stable (NTS) process
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    long-range dependence
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    fractional Lévy process
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