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State Price Density Extracted from OMX Option Prices
Stockholm University, Faculty of Social Sciences, School of Business.
2001 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

The state price density (SPD), assessed to be a mixture of log-normal densities, for the Swedish OMX Index is estimated using a combination of a genetic algorithm (GA) and a newton method; where the GA is used to provide the newton method with intial datums.

Place, publisher, year, edition, pages
2001.
National Category
Business Administration
Identifiers
URN: urn:nbn:se:su:diva-2821OAI: oai:DiVA.org:su-2821DiVA: diva2:191906
Uppsok
samhälle/juridik
Available from: 2007-01-05 Created: 2007-01-05

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CiteExportLink to record
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  • apa
  • ieee
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