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Pricing Equity Default Swaps under an approximation to the CGMY L\'{e}% vy Model - MaRDI portal

Pricing Equity Default Swaps under an approximation to the CGMY L\'{e}% vy Model

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Publication:6207526

arXiv0711.2807MaRDI QIDQ6207526

Martijn R. Pistorius, Soren Asmussen, Dilip B. Madan

Publication date: 18 November 2007




Mathematics Subject Classification ID

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