Asian Options Under One-Sided Lévy Models
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Publication:5299562
DOI10.1239/JAP/1371648946zbMath1266.91109OpenAlexW1994043704MaRDI QIDQ5299562
Publication date: 26 June 2013
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.jap/1371648946
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (2)
Bernstein-gamma functions and exponential functionals of Lévy processes ⋮ The value of power-related options under spectrally negative Lévy processes
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