A Lévy process for the GNIG probability law with 2nd order stochastic volatility and applications to option pricing (Q5189716)
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scientific article; zbMATH DE number 5680127
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Lévy process for the GNIG probability law with 2nd order stochastic volatility and applications to option pricing |
scientific article; zbMATH DE number 5680127 |
Statements
A Lévy process for the GNIG probability law with 2nd order stochastic volatility and applications to option pricing (English)
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11 March 2010
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Lévy process
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stochastic volatility
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derivative pricing
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multivariate Lévy process
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