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Search: subject:"exponential Lévy model"
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Exponential Lévy model
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American options
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Call-put duality
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Duality principle in option pricing
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Exotic options
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Exponential semimartingale model
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Optimal stopping
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Eberlein, Ernst
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Lamberton, Damien
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Mikou, Mohammed
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Papapantoleon, Antonis
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Finance and Stochastics
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On the duality principle in option pricing: semimartingale setting
Eberlein, Ernst
;
Papapantoleon, Antonis
;
Shiryaev, Albert
- In:
Finance and Stochastics
12
(
2008
)
2
,
pp. 265-292
Persistent link: https://www.econbiz.de/10005166855
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2
The critical price for the American put in an
exponential
Lévy
model
Lamberton, Damien
;
Mikou, Mohammed
- In:
Finance and Stochastics
12
(
2008
)
4
,
pp. 561-581
Persistent link: https://www.econbiz.de/10005613382
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