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Is there an informationally passive benchmark for option pricing incorporating maturity?

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Publisher copy:
10.1080/14697680601011438

Authors


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Institution:
University of Oxford
Department:
Oxford, MPLS, Oxford-Man
Hobson¶, D More by this author
Kluge¶, T More by this author
Journal:
Quantitative Finance
Volume:
7
Issue:
1
Pages:
75-86
Publication date:
2007-02-05
DOI:
EISSN:
1469-7696
ISSN:
1469-7688
URN:
uuid:fae08f4d-855d-4151-9e41-94b53f13b67b
Source identifiers:
324993
Local pid:
pubs:324993

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