Probing Option Prices for Information
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DOI: 10.1007/s11009-006-9005-3
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Cited by:
- Dorje C. Brody & Mark H. A. Davis & Robyn L. Friedman & Lane P. Hughston, 2008. "Informed Traders," Papers 0807.1253, arXiv.org, revised Nov 2008.
- Hoyle, Edward & Hughston, Lane P. & Macrina, Andrea, 2011. "Lévy random bridges and the modelling of financial information," Stochastic Processes and their Applications, Elsevier, vol. 121(4), pages 856-884, April.
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bridge laws; credit; simulation; Bessel process;All these keywords.
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