Jumps Activity and Singularity Spectra for Instruments in the Polish Financial Market
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Keywords
Blumenthal-Getoor index; singularity spectrum; Lévy exponential models.;
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- Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288, World Scientific Publishing Co. Pte. Ltd..