On exact pricing of FX options in multivariate time-changed Lévy models
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Publication:345721
DOI10.1007/s11147-016-9120-4zbMath1349.91271OpenAlexW2273104313MaRDI QIDQ345721
Katsunori Ano, Roman V. Ivanov
Publication date: 2 December 2016
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11147-016-9120-4
hypergeometric functionpricingforeign-exchange optionnormal-inverse Gaussian processtime-changed Lévy processvariance-gamma process
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)
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