A Stroock formula for a certain class of Lévy processes and applications to finance
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Publication:2498178
DOI10.1155/JAMSA.2005.211zbMath1097.60030OpenAlexW2035111294MaRDI QIDQ2498178
Josep Vives, Josep Lluís Solé, M'hamed Eddahbi
Publication date: 28 August 2006
Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/52727
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Related Items (3)
Permutation invariant functionals of Lévy processes ⋮ The explicit chaotic representation of the powers of increments of Lévy processes ⋮ A volatility-varying and jump-diffusion Merton type model of interest rate risk
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