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Multiple subordinated modeling of asset returns: Implications for option pricing
Econometric Reviews ( IF 0.8 ) Pub Date : 2020-07-02 , DOI: 10.1080/07474938.2020.1781404
Abootaleb Shirvani 1 , Svetlozar T. Rachev 1 , Frank J. Fabozzi 2
Affiliation  

Motivated by behavioral finance, we introduce multiple embedded financial time clocks. Consistent with asset pricing theory in analyzing equity returns, the investors’ view is considered by introdu...

中文翻译:

资产收益的多重从属建模:对期权定价的影响

受行为金融学的启发,我们引入了多个嵌入式金融时钟。与资产定价理论分析股权收益相一致,投资者的观点被引入...
更新日期:2020-07-02
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