Representative Agent Pricing of Financial Assets Based on Lévy Processes with Normal Inverse Gaussian Marginals.
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2002
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Representative Agent Pricing of Financial Assets Based on Lévy Processes with Normal Inverse Gaussian Marginals.
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15-31
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dc:
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partial equilibrium; normal inverse Gaussian distribution; inverse Gaussian distribution; CCAPM; futures contracts; options
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Representative Agent Pricing of Financial Assets Based on Lévy Processes with Normal Inverse Gaussian Marginals.
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114
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