Correlated continuous time random walk and option pricing
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Publication:1619172
DOI10.1016/j.physa.2015.12.013zbMath1400.91601OpenAlexW2198819394MaRDI QIDQ1619172
Liangzhong Fan, Fu-Yao Ren, Jian-Bin Xiao, Long-Jin Lv
Publication date: 13 November 2018
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physa.2015.12.013
Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)
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