On exact pricing of FX options in multivariate time-changed Lévy models (Q345721)
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scientific article; zbMATH DE number 6659123
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On exact pricing of FX options in multivariate time-changed Lévy models |
scientific article; zbMATH DE number 6659123 |
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On exact pricing of FX options in multivariate time-changed Lévy models (English)
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2 December 2016
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time-changed Lévy process
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variance-gamma process
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normal-inverse Gaussian process
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foreign-exchange option
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pricing
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hypergeometric function
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