Approximating Lévy processes with a view to option pricing (Q3560080)
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scientific article; zbMATH DE number 5709675
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| English | Approximating Lévy processes with a view to option pricing |
scientific article; zbMATH DE number 5709675 |
Statements
APPROXIMATING LÉVY PROCESSES WITH A VIEW TO OPTION PRICING (English)
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19 May 2010
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Lévy process
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pricing of derivative securities
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hyperexponential jump-diffusion process
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CGMY/KoBol model
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barrier options
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0.7931438684463501
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0.7911692261695862
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0.7905848026275635
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0.7874764204025269
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