On a Heath-Jarrow-Morton approach for stock options
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Publication:2516770
DOI10.1007/s00780-015-0263-1zbMath1390.91302arXiv1305.5621OpenAlexW2146707610MaRDI QIDQ2516770
Publication date: 4 August 2015
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1305.5621
Processes with independent increments; Lévy processes (60G51) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
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