Duality and Derivative Pricing with Time-Changed Lévy Processes
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Cited by:
- José Fajardo & Ernesto Mordecki, 2006.
"Skewness Premium with Lévy Processes,"
IBMEC RJ Economics Discussion Papers
2006-04, Economics Research Group, IBMEC Business School - Rio de Janeiro.
- José Fajardo & Ernesto Mordecki, 2009. "Skewness Premium with Lévy Processes," CREATES Research Papers 2009-10, Department of Economics and Business Economics, Aarhus University.
- Fajardo, José & Mordecki, Ernesto, 2010. "Market symmetry in time-changed Brownian models," Finance Research Letters, Elsevier, vol. 7(1), pages 53-59, March.
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More about this item
Keywords
Lévy processes; Time Change; Symmetry;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FIN-2005-12-09 (Finance)
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