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Publication:2725581
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zbMath0976.91041MaRDI QIDQ2725581

Jean-Paul Laurent, Dietmar P. J. Leisen

Publication date: 13 January 2002


Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Markov chainmodel riskcross-entropyno-arbitrage


Mathematics Subject Classification ID

Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).


Related Items (5)

SDP relaxation of arbitrage pricing bounds based on option prices and moments ⋮ Detection of arbitrage opportunities in multi-asset derivatives markets ⋮ Robust pricing and hedging of double no-touch options ⋮ Static arbitrage bounds on basket option prices ⋮ Local volatility dynamic models




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