A jump-diffusion model for option pricing (Q136006)
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scientific article; zbMATH DE number 5920530
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A jump-diffusion model for option pricing |
scientific article; zbMATH DE number 5920530 |
Statements
48
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8
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1086-1101
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August 2002
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14 July 2011
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A Jump-Diffusion Model for Option Pricing (English)
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contingent claims
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high peak
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heavy tails
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interest rate models
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rational expectations
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overreaction and underreaction
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0.8406473994255066
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0.8250778317451477
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0.8231363892555237
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