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Security prices contain valuable information that can be used to make a wide variety of economic decisions. To extract this information, a model is required tha
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Type: BOOK - Published: 2011-09-30 - Publisher: LAP Lambert Academic Publishing
This book estimates risk neutral parameters of a jump diffusion model, as in Bates (1991), implicit in the option prices on the S&P500 futures over the period 2
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Language: en
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Type: BOOK - Published: 2012-12-06 - Publisher: Springer Science & Business Media
This book is a slightly revised version of my doctoral dissertation which has been accepted by the Department of Economics and Business Administration of the Ju