Optimal demand in a mispriced asymmetric Carr-Geman-Madan-Yor (CGMY) economy

DOI10.1007/s10436-018-0335-2zbMath1426.91302OpenAlexW2890032496MaRDI QIDQ2334406

Sandun Perera, Winston S. Buckley

Publication date: 7 November 2019

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-018-0335-2

zbMATH Keywords

optimal portfolioCarr-Geman-Madan-Yor (CGMY) marketsinstantaneous centralized moments of returns (ICMR)mispricing models under asymmetric information

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10)

Related Items (1)

m-Double Poisson Lévy markets

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