Philadelphia, PA 19104
Austin, TX 78712
University of Pennsylvania
Statistics and Data Sciences
Options, Option Pricing, Risk Neutral Density, Generalized Pareto, S&P 500
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options, option pricing, risk neutral density, generalized Pareto, Standard&Poor’s 500 (S&P 500)
Options, S&P 500, Volatility
Point Processes, Clustering, Autoregressive Conditional Duration, Extreme Risk, Generalized Pareto Distribution
Extremal Index, Clustering, Asymptotic normality, Bootstrap, Heavy tails, Permutation
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