A discontinuous mispricing model under asymmetric information
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Publication:319248
DOI10.1016/j.ejor.2014.12.045zbMath1346.91199OpenAlexW2169311171MaRDI QIDQ319248
Hongwei Long, Winston S. Buckley
Publication date: 6 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2014.12.045
Related Items (6)
Modeling and forecasting exchange rate volatility in time-frequency domain ⋮ Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets ⋮ Modelling fundamental analysis in portfolio selection ⋮ It takes all sorts: a heterogeneous agent explanation for prediction market mispricing ⋮ m-Double Poisson Lévy markets ⋮ Optimal demand in a mispriced asymmetric Carr-Geman-Madan-Yor (CGMY) economy
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