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From Measure Changes to Time Changes in Asset Pricing

Author

Listed:
  • Helyette Geman

    (DRM - Dauphine Recherches en Management - Université Paris-Dauphine - CNRS - Centre National de la Recherche Scientifique)

Abstract

No abstract is available for this item.

Suggested Citation

  • Helyette Geman, 2005. "From Measure Changes to Time Changes in Asset Pricing," Post-Print halshs-00144296, HAL.
  • Handle: RePEc:hal:journl:halshs-00144296
    Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00144296
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    Cited by:

    1. Fusai, Gianluca & Meucci, Attilio, 2008. "Pricing discretely monitored Asian options under Levy processes," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2076-2088, October.
    2. Pippenger, John, 2008. "Freely Floating Exchange Rates Do Not Systematically Overshoot," University of California at Santa Barbara, Economics Working Paper Series qt97m8z6hw, Department of Economics, UC Santa Barbara.
    3. Han, Chuan-Hsiang & Chang, Chien-Hung & Kuo, Chii-Shyan & Yu, Shih-Ti, 2015. "Robust hedging performance and volatility risk in option markets: Application to Standard and Poor's 500 and Taiwan index options," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 160-173.
    4. Roseline Bilina Falafala & Robert A. Jarrow & Philip Protter, 2016. "Relative asset price bubbles," Annals of Finance, Springer, vol. 12(2), pages 135-160, May.

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    Keywords

    Finance; Banking;

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