Nonlinear valuation and non-Gaussian risks in finance (Q5014097)
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scientific article; zbMATH DE number 7436602
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| English | Nonlinear valuation and non-Gaussian risks in finance |
scientific article; zbMATH DE number 7436602 |
Statements
Nonlinear Valuation and Non-Gaussian Risks in Finance (English)
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1 December 2021
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nonlinear valuation
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non-Gaussian risk
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variance gamma
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bilateral gamma
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hedging arrival rates
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conic alpha construction
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conic hedging
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distorted least squares
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Greek hedging
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0.717199981212616
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0.7056412100791931
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0.7005161046981812
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