Pricing and Hedging in Exponential Lévy Models: Review of Recent Results
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Publication:3061149
DOI10.1007/978-3-642-14660-2_5zbMath1205.91161OpenAlexW2136243007MaRDI QIDQ3061149
Publication date: 14 December 2010
Published in: Paris-Princeton Lectures on Mathematical Finance 2010 (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-14660-2_5
Lévy processesimplied volatilityexponential Lévy modelsEsscher transformabsence of arbitragequadratic hedgingsmile modeling
Processes with independent increments; Lévy processes (60G51) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Derivative securities (option pricing, hedging, etc.) (91G20)
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