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AN INTERNATIONAL ARBITRAGE PRICING MODEL WITH PPP DEVIATIONS

โœ Scribed by ROSS Levine


Book ID
115202698
Publisher
Oxford University Press
Year
1989
Tongue
English
Weight
615 KB
Volume
27
Category
Article
ISSN
0095-2583

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The aim of this paper is the presentation of new models for option pricing that are discrete in time and in the framework of Markov and semi-Markov processes as an alternative to the classical Cox-Rubinstein model, and that also allow the possibility of arbitrage. Both cases of European and American