Pricing Perpetual Options for Jump Processes
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Publication:5718304
DOI10.1080/10920277.1998.10595736zbMath1081.91528OpenAlexW1486625577MaRDI QIDQ5718304
Elias S. W. Shiu, Hans U. Gerber
Publication date: 13 January 2006
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10920277.1998.10595736
Signal detection and filtering (aspects of stochastic processes) (60G35) Derivative securities (option pricing, hedging, etc.) (91G20)
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