Long-range dependence in the risk-neutral measure for the market on Lehman Brothers collapse (Q4585680)
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scientific article; zbMATH DE number 6933340
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| English | Long-range dependence in the risk-neutral measure for the market on Lehman Brothers collapse |
scientific article; zbMATH DE number 6933340 |
Statements
Long-Range Dependence in the Risk-Neutral Measure for the Market on Lehman Brothers Collapse (English)
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6 September 2018
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option pricing
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fractional normal tempered stable (NTS) process
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long-range dependence
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fractional Lévy process
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0.7809900045394897
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0.7580981850624084
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0.7532805800437927
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0.7503936886787415
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