Lévy term structure models: no-arbitrage and completeness
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Publication:1776027
DOI10.1007/s00780-004-0138-3zbMath1065.60086OpenAlexW1973175113MaRDI QIDQ1776027
Sebastian Raible, Jean Jacod, Ernst Eberlein
Publication date: 20 May 2005
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-004-0138-3
Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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