A Risk-Neutral Parametric Liquidity Model for Derivatives
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- William T. Shaw, 2008. "A model of returns for the post-credit-crunch reality: Hybrid Brownian motion with price feedback," Papers 0811.0182, arXiv.org, revised Aug 2009.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-08-31 (All new papers)
- NEP-FIN-2003-08-31 (Finance)
- NEP-FMK-2003-08-31 (Financial Markets)
- NEP-RMG-2003-08-31 (Risk Management)
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