On pricing options with stressed-beta in a reduced form model
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DOI: 10.1007/s11147-014-9103-2
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More about this item
Keywords
Two-state beta; Option pricing; European options; American options; Quadratures; Calibration; G13; C51;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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