Application of Lévy processes and Esscher transformed martingale measures for option pricing in fuzzy framework
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Publication:2252399
DOI10.1016/j.cam.2013.11.031zbMath1291.91209OpenAlexW1978436410MaRDI QIDQ2252399
Publication date: 17 July 2014
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2013.11.031
Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Fuzzy probability (60A86)
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