Sökning: "Additive Normal Tempered Stable Processes"
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1. Parameter Stability in Additive Normal Tempered Stable Processes for Equity Derivatives
Master-uppsats, Mälardalens universitet/Akademin för utbildning, kultur och kommunikationSammanfattning : This thesis focuses on the parameter stability of additive normal tempered stable processes when calibrating a volatility surface. The studied processes arise as a generalization of Lévy normal tempered stable processes, and their main characteristic are their time-dependent parameters. LÄS MER
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