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- W1964534318 abstract "Abstract In this article, we first present a dynamic linear evaluation mechanism of contingent claims. Then, we deduce the dynamic capital asset pricing model from this dynamic linear evaluation rule in the market driven by Levy processes. We mainly use the predictable representation property in weak form and Girsanov theorem of Levy processes to obtain the results." @default.
- W1964534318 created "2016-06-24" @default.
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- W1964534318 date "2007-05-01" @default.
- W1964534318 modified "2023-09-23" @default.
- W1964534318 title "From Dynamic Linear Evaluation Rule to Dynamic Capital Asset Pricing Model" @default.
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- W1964534318 doi "https://doi.org/10.1016/s1874-8651(08)60033-2" @default.
- W1964534318 hasPublicationYear "2007" @default.
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