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- W3121862007 abstract "The goal of this work is to check that there are no arbitrage opportunities in the CBOE market for SP in Section 3 we consider two models which seem to be consistent with the market prices of index options: the CEV model and the Merton model; finally, in Section 4 we estimate the state-price density consistent with the Merton-Geske model. Some conclusions follow." @default.
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- W3121862007 date "2008-11-01" @default.
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- W3121862007 title "Arbitrages and Arrow-Debreu Prices" @default.
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