Long-Range Dependence in the Risk-Neutral Measure for the Market on Lehman Brothers Collapse
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Publication:4585680
DOI10.1080/1350486X.2016.1268926zbMath1396.62242MaRDI QIDQ4585680
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Publication date: 6 September 2018
Published in: Applied Mathematical Finance (Search for Journal in Brave)
option pricinglong-range dependencefractional Lévy processfractional normal tempered stable (NTS) process
Applications of statistics to actuarial sciences and financial mathematics (62P05) Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20)
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