Saddlepoint methods for option pricing
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(33)- Saddlepoint approximations to option prices
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- Asymptotic behavior and calibration of short-time option prices under the normal tempered stable model
- Simulating random variables using moment-generating functions and the saddlepoint approximation
- A two-dimensional, two-sided Euler inversion algorithm with computable error bounds and its financial applications
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- Pricing vulnerable lookback options using Laplace transforms
- FX options pricing in logarithmic mean-reversion jump-diffusion model with stochastic volatility
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