Quanto option pricing in the presence of fat tails and asymmetric dependence (Q2347727)
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scientific article; zbMATH DE number 6443578
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Quanto option pricing in the presence of fat tails and asymmetric dependence |
scientific article; zbMATH DE number 6443578 |
Statements
Quanto option pricing in the presence of fat tails and asymmetric dependence (English)
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8 June 2015
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quanto option
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multivariate normal tempered stable process
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Lévy process
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Black-Scholes option pricing
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Nikkei 225 dollar options
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0.7410311698913574
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0.7326529026031494
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0.7301100492477417
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0.7282651662826538
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0.7237568497657776
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