Martingalized Historical approach for Option Pricing
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References listed on IDEAS
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Cited by:
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- Marius-Cristian Frunza & Dominique Guegan & Antonin Lassoudière, 2010. "Statistical evidence of tax fraud on the carbon allowances market," Post-Print halshs-00523458, HAL.
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More about this item
Keywords
Generalized hyperbolic distribution; option pricing; incomplete market; CAC 40; Stochastic Discount Factor; martingale correction.; martingale correction; Distribution hyperbolique généralisée; pricing; options; marchés incomplets; martingalisation.;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MIC-2009-08-02 (Microeconomics)
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