Option pricing based on geometric stable processes and minimal entropy martingale measures (Q3656129)
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scientific article; zbMATH DE number 5657308
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| English | Option pricing based on geometric stable processes and minimal entropy martingale measures |
scientific article; zbMATH DE number 5657308 |
Statements
13 January 2010
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incomplete market
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option pricing
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Lévy process
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stable process
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fat tail
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minimal entropy martingale measure
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calibration
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0.8178092241287231
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0.8020018935203552
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0.799803614616394
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0.7865573763847351
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