Option pricing under a gamma-modulated diffusion process
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Publication:645515
DOI10.1007/s10436-011-0176-8zbMath1225.91063OpenAlexW2069453621WikidataQ105583467 ScholiaQ105583467MaRDI QIDQ645515
Soledad Torres, Jaime San Martín, Frederi G. Viens, Pilar L. Iglesias
Publication date: 15 November 2011
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-011-0176-8
Statistical methods; risk measures (91G70) Bayesian inference (62F15) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
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