Non-Gaussian GARCH option pricing models and their diffusion limits (Q320097)
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scientific article; zbMATH DE number 6633797
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| English | Non-Gaussian GARCH option pricing models and their diffusion limits |
scientific article; zbMATH DE number 6633797 |
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Non-Gaussian GARCH option pricing models and their diffusion limits (English)
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6 October 2016
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finance
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non-Gaussian GARCH models
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extended Girsanov principle
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conditional Esscher transform
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bivariate diffusion limit
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0.8139972686767578
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0.8138020038604736
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0.7959620952606201
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0.7933809161186218
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0.7914294004440308
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