Dyson type formula for pure jump Lévy processes with some applications to finance
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Publication:2289812
DOI10.1016/j.spa.2019.03.019zbMath1443.60057OpenAlexW2935462310MaRDI QIDQ2289812
Josep Vives, Henry Schellhorn, Sixian Jin
Publication date: 24 January 2020
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2019.03.019
Financial applications of other theories (91G80) Stochastic calculus of variations and the Malliavin calculus (60H07) Jump processes on discrete state spaces (60J74)
Cites Work
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