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Testing post-cartel pricing during litigation

โœ Scribed by Can Erutku


Book ID
116423369
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
326 KB
Volume
116
Category
Article
ISSN
0165-1765

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This paper presents a model for option pricing in markets that experience financial crashes. The stochastic differential equation (SDE) of stock price dynamics is coupled to a post-crash market index. The resultant SDE is shown to have stock price and time dependent volatility. The partial different