Risk Neutral Jump Arrival Rates Implied in Option Prices and Their Models
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Publication:5075238
DOI10.1080/1350486X.2021.2007145zbMath1490.91217OpenAlexW4210542958MaRDI QIDQ5075238
Dilip B. Madan, King-Hang Wang
Publication date: 10 May 2022
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/1350486x.2021.2007145
limiting distributionsFourier inversionself-decomposable lawsquasi-infinite divisibilitycrash cliquet
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