On a new approach to calculating expectations for option pricing
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Publication:4804742
DOI10.1239/jap/1037816027zbMath1016.60053OpenAlexW2036835272MaRDI QIDQ4804742
Konstantin A. Borovkov, Alexander Novikov
Publication date: 27 July 2003
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/jap/1037816027
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)
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