Representing the CGMY and Meixner Lévy processes as time changed Brownian motions
Dilip B. Madan; Marc Yor
| Year of publication: |
2008
|
|---|---|
| Authors: | Madan, Dilip B. ; Yor, Marc |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 12.2008, 1, p. 27-47
|
| Subject: | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009534636