Application of large deviation methods to the pricing of index options in finance.
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Publication:1871480
DOI10.1016/S1631-073X(03)00032-3zbMath1053.91057MaRDI QIDQ1871480
Jérôme Busca, Marco Avellaneda, Dash Boyer-Olson, Peter K. Friz
Publication date: 23 September 2003
Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)
Large deviations (60F10) Interest rates, asset pricing, etc. (stochastic models) (91G30) Statistical methods; economic indices and measures (91B82)
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