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141
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SAC
2002
ACM
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Applied Computing
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SAC 2002
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Option pricing under model and parameter uncertainty using predictive densities
15 years 3 months ago
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www.anothermachine.co.uk
The theoretical price of a financial option is given by the expectation of its discounted expiry time payoff. The computation of this expectation depends on the density of the val...
F. Oliver Bunnin, Yike Guo, Yuhe Ren
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