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On Jumps in Common Stock Prices and Their Impact on Call Option Pricing
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- Siddiqi, Hammad, 2014. "Analogy Making and the Structure of Implied Volatility Skew," MPRA Paper 60921, University Library of Munich, Germany.
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"Multifrequency jump-diffusions: An equilibrium approach,"
Journal of Mathematical Economics, Elsevier, vol. 44(2), pages 207-226, January.
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- BenjamÃn Vallejo Jiménez & Francisco Venegas MartÃnez, 2017. "Optimal consumption and portfolio rules when the asset price is driven by a time-inhomogeneous Markov modulated fractional Brownian motion with," Economics Bulletin, AccessEcon, vol. 37(1), pages 314-326.
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"On Jumps and ARCH Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests,"
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00-03, Laval - Recherche en Energie.
- Saphores, Jean-Daniel & Khalaf, Lynda & Pelletier, Denis, 2000. "On Jumps and Arch Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests," Cahiers de recherche 0003, Université Laval - Département d'économique.
- Saphores, Jean-Daniel & Khalaf, Lynda & Pelletier, Denis, 2000. "On Jumps and ARCH Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests," Cahiers de recherche 0003, GREEN.
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Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(4), pages 279-291.
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Journal of International Money and Finance, Elsevier, vol. 19(6), pages 885-915, December.
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International Review of Financial Analysis, Elsevier, vol. 66(C).
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Computing in Economics and Finance 2003
39, Society for Computational Economics.
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International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(04), pages 1-26.
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Applied Mathematical Finance, Taylor & Francis Journals, vol. 16(1), pages 37-79.
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