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~isPartOf:"Finance"
~isPartOf:"SFB 649 Discussion Paper"
~person:"Vellekoop, Michel"
~subject:"European option"
~subject:"jump diffusion"
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European option
jump diffusion
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local scale invariance
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option pricing
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Vellekoop, Michel
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Symmetries in
Jump-Diffusion
Models with Applications in Option Pricing and Credit Risk
Hoogland, Jiri
;
Neumann, Dimitri
;
Vellekoop, Michel
-
EconWPA
-
2002
Poisson processes, i.e.
jump-diffusion
models. It is shown that in this case too, the focus on symmetry aspects of the problem …
Persistent link: https://www.econbiz.de/10005561671
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