A class of asset pricing models governed by subordinate processes that signal economic shocks
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- Feng-Tse Tsai, 2019. "Option Implied Stock Buy-Side and Sell-Side Market Depths," Risks, MDPI, vol. 7(4), pages 1-16, October.
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More about this item
Keywords
Mean reverting Ito process Stochastic volatility Economic shock process Risk premia Stochastic interest rate Risk-neutral process Subordinated processes Brownian motion models Foreign exchange markets Incomplete/complete markets;Statistics
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