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Option pricing for Informed Traders

Stoyan V. Stoyanov, Yong Shin Kim, Svetlozar T. Rachev and Frank J. Fabozzi

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Abstract: In this paper we extend the theory of option pricing to take into account and explain the empirical evidence for asset prices such as non-Gaussian returns, long-range dependence, volatility clustering, non-Gaussian copula dependence, as well as theoretical issues such as asymmetric information and the presence of limited arbitrage opportunities

Date: 2017-11
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Handle: RePEc:arx:papers:1711.09445