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~isPartOf:"Physica A: Statistical Mechanics and its Applications"
~subject:"Option pricing"
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Option pricing
Continuous time random walks
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Broszkiewicz-Suwaj, Ewa
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Physica A: Statistical Mechanics and its Applications
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Perpetual American options within CTRWs
Montero, Miquel
- In:
Physica A: Statistical Mechanics and its Applications
387
(
2008
)
15
,
pp. 3936-3941
Continuous-time
random walks are a well suited tool for the description of market behaviour at the smallest scale: the …
Persistent link: https://www.econbiz.de/10010872162
Saved in:
2
Pricing on electricity market based on coupled-
continuous-time
-random-walk concept
Broszkiewicz-Suwaj, Ewa
;
Jurlewicz, Agnieszka
- In:
Physica A: Statistical Mechanics and its Applications
387
(
2008
)
22
,
pp. 5503-5510
continuous-time
random walk (CTRW) with jump lengths proportional to the corresponding inter-jump time intervals. In the …
Persistent link: https://www.econbiz.de/10010872928
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