NUMERICAL ANALYSIS ON LOCAL RISK-MINIMIZATION FOR EXPONENTIAL LÉVY MODELS (Q2800048): Difference between revisions
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Revision as of 08:31, 19 April 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | NUMERICAL ANALYSIS ON LOCAL RISK-MINIMIZATION FOR EXPONENTIAL LÉVY MODELS |
scientific article |
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NUMERICAL ANALYSIS ON LOCAL RISK-MINIMIZATION FOR EXPONENTIAL LÉVY MODELS (English)
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14 April 2016
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local risk minimization
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fast Fourier transform
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exponential Lévy processes
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Merton jump-diffusion processes
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variance gamma processes
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