Report on testing and finding the generating functions \(g\) of an option pricing mechanism through market data (Q3400740)
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scientific article; zbMATH DE number 5666943
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| English | Report on testing and finding the generating functions \(g\) of an option pricing mechanism through market data |
scientific article; zbMATH DE number 5666943 |
Statements
5 February 2010
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dynamic pricing mechanism
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\(g\)-expectation
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backward stochastic differential equation
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generating function
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option market
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domination condition
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CME data
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0.7076804637908936
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0.6989919543266296
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0.6967545747756958
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