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~institution:"Université Paris-Dauphine (Paris IX)"
~person:"Armstrong, Mark"
~person:"Carr, Peter"
~person:"Schoutens, Wim"
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Additive Processes
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Background Driving Lévy Processes
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Option pricing
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Ornstein–Uhlenbeck Processes
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Armstrong, Mark
Carr, Peter
Schoutens, Wim
Jouini, Elyès
14
Desmet, Pierre
5
Lajili, Souad
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Napp, Clotilde
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Chevallier, Julien
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Université Paris-Dauphine (Paris IX)
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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EconWPA
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Department of Economics, Oxford University
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Self-decomposability and option
pricing
Yor, Marc
;
Madan, Dilip B.
;
Carr, Peter
;
Geman, Hélyette
-
Université Paris-Dauphine (Paris IX)
-
2007
two of these models. Currently, there are several option
pricing
models with 610 free parameters that deliver a comparable …
Persistent link: https://www.econbiz.de/10010905156
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