Asset Prices With Regime-Switching Variance Gamma Dynamics
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Publication:3631201
DOI10.1016/S1570-8659(08)00018-5zbMath1180.91141MaRDI QIDQ3631201
Publication date: 5 June 2009
Published in: Special Volume: Mathematical Modeling and Numerical Methods in Finance (Search for Journal in Brave)
Processes with independent increments; Lévy processes (60G51) Statistical methods; risk measures (91G70) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
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