Equivalent Martingale Measures and Lévy Processes
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Other versions of this item:
- Fajardo, J., 2004. "Equivalent Martingale Measures and Lévy Processes," Finance Lab Working Papers flwp_61, Finance Lab, Insper Instituto de Ensino e Pesquisa.
- José Fajardo, 2005. "Equivalent Martingale Measures and Lévy Processes," IBMEC RJ Economics Discussion Papers 2005-07, Economics Research Group, IBMEC Business School - Rio de Janeiro.
References listed on IDEAS
- Fajardo, José & Farias, Aquiles, 2004.
"Generalized Hyperbolic Distributions and Brazilian Data,"
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- Fajardo, J. & Farias, A., 2003. "Generalized Hyperbolic Distributions and Brazilian Data," Finance Lab Working Papers flwp_57, Finance Lab, Insper Instituto de Ensino e Pesquisa.
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- Jingzhi Huang & Liuren Wu, 2004. "Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes," Finance 0401002, EconWPA.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Barbachan, José Santiago Fajardo, 2003.
"Optimal Consumption and Investment with Lévy Processes,"
Revista Brasileira de Economia - RBE,
FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 57(4), October.
- Jose Fajardo Barbachan, 2000. "Optimal Consumption and Investment with Levy Processes," Econometric Society World Congress 2000 Contributed Papers 1146, Econometric Society.
More about this item
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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