Derivatives Pricing on Integrated Diffusion Processes: A General Perturbation Approach
Year of publication: |
2014-03-08
|
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Authors: | Li, Minqiang |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Integrated diffusion process | Asymptotic expansion | Hitting time | Derivative pricing | Timer options |
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