Robust willow tree method under Lévy processes
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Publication:6098950
DOI10.1016/j.cam.2022.114982zbMath1515.91157MaRDI QIDQ6098950
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Publication date: 19 June 2023
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
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