8.5 If K(u) = exp 1 2uu in (8.55), then give a no-arbitrage condition for Yn,N

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8.5 If ϕK(u) = exp

in (8.55), then give a no-arbitrage condition for Yn,N given by (8.53) in terms of α( , ), β( , ) and ξ (Kariya and Liu

(2003)).

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Optimal Statistical Inference In Financial Engineering

ISBN: 9781584885917

1st Edition

Authors: Masanobu Taniguchi, Junichi Hirukawa, Kenichiro Tamaki

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Question Posted: Oct 26, 2024 07:01 AM

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8.5 If K(u) = exp 1 2uu in (8.55), then give a no-arbitrage condition for Yn,N given by (8.53) in terms of ( , ), ( , ) and (Kariya and Liu (2003)).
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8.5 If K(u) = exp 1 2uu in (8.55), then give a no-arbitrage condition for Yn,N

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Optimal Statistical Inference In Financial Engineering

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