Klaus Herrmann

KU Leuven - Department of Mathematics

Celestijnenlaan 200 B

Leuven, B-3001

Belgium

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Scholarly Papers (1)

1.

Are Jumps in Time Changed Lévy Models Superfluous? An Empirical Investigation

Number of pages: 30 Posted: 12 Jun 2012
Klaus Herrmann and Rainer Schoebel
KU Leuven - Department of Mathematics and University of Tuebingen - Faculty of Economics and Social Sciences
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Abstract:

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option pricing, Lévy process, time change, model-to-market calibration, parameter stability