Long-Range Dependence in the Risk-Neutral Measure for the Market on Lehman Brothers Collapse (Q4585680)
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scientific article; zbMATH DE number 6933340
| Language | Label | Description | Also known as |
|---|---|---|---|
| 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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