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Ewan Mackie
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1.
General Theory of Geometric Lévy Models for Dynamic Asset Pricing
Number of pages: 20
Posted: 09 Nov 2011
Dorje C. Brody
,
L. P. Hughston
and Ewan Mackie
Brunel University London - School of Information Systems, Computing and Mathematics, King’s College London - Department of Mathematics and
affiliation not provided to SSRN
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Abstract:
lévy processes, asset pricing, risk premium, risk aversion, Siegel's paradox
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