most citedStrings in Horizons, Dissipation and a Possible Interpretation of the Hagedorn Temperature

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math.PR2008★ 8 cited

Skewness Premium with Lévy Processes

José Fajardo, Ernesto Mordecki

We study the skewness premium (SK) introduced by Bates (1991) in a general context using Lévy Processes. Under a symmetry condition Fajardo and Mordecki (2006) obtain that SK is gi…