APPROXIMATING LÉVY PROCESSES WITH A VIEW TO OPTION PRICING
Year of publication: |
2010
|
---|---|
Authors: | CROSBY, JOHN ; SAUX, NOLWENN LE ; MIJATOVIĆ, ALEKSANDAR |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 13.2010, 01, p. 63-91
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Lévy process | pricing of derivative securities | hyperexponential jump-diffusion process | CGMY/KoBol model | barrier options |
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