Option evaluation formulas for some classes of Lévy processes

MaRDI QIDQ3587696zbMATH OpenFDO

Authors Mircea Nica

Publication date 8 September 2010

zbMATH Keywords

characteristic functionfast Fourier transformLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Portfolio theory (91G10)

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(9)

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