The Risk-Neutral Measure and Option Pricing under Log-Stable Uncertainty
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- J. Huston McCulloch, 2003. "The Risk-Neutral Measure and Option Pricing under Log-Stable Uncertainty," Working Papers 03-07, Ohio State University, Department of Economics.
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More about this item
KeywordsStable distributions; risk-neutral measure; pricing kernel; option pricing; FFT; Romberg FFT;
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-08-16 (All new papers)
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