Expansion formulae for local Lévy models
Year of publication: |
2011-10-20
|
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Authors: | Stefano, Pagliarani ; Pascucci, Andrea ; Candia, Riga |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Lévy process | local volatility | asymptotic expansion | partial-integro differential equation | Fourier methods |
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