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Pure jump Levy processes for asset price modelling

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  • Geman, Helyette
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    File URL: http://www.sciencedirect.com/science/article/B6VCY-45TTSR9-2/2/9283a1183b22aac5d0737b0a859dc8a4
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 26 (2002)
    Issue (Month): 7 (July)
    Pages: 1297-1316

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    Handle: RePEc:eee:jbfina:v:26:y:2002:i:7:p:1297-1316

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    Web page: http://www.elsevier.com/locate/jbf

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    Cited by:
    1. Fabozzi, Frank J. & Leccadito, Arturo & Tunaru, Radu S., 2014. "Extracting market information from equity options with exponential Lévy processes," Journal of Economic Dynamics and Control, Elsevier, vol. 38(C), pages 125-141.
    2. Claudia Ribeiro & Nick Webber, 2006. "Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Levy Processes," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(4), pages 333-352.
    3. Bilkic, Natasa & Gries, Thomas, 2012. "When to Attack an Oppressive Government?," Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62031, Verein für Socialpolitik / German Economic Association.
    4. Deniz Erdemlioglu & Sébastien Laurent & Christopher J. Neely, 2013. "Which continuous-time model is most appropriate for exchange rates?," Working Papers 2013-024, Federal Reserve Bank of St. Louis.
    5. Szego, Giorgio, 2002. "Measures of risk," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1253-1272, July.
    6. Szego, Giorgio, 2005. "Measures of risk," European Journal of Operational Research, Elsevier, vol. 163(1), pages 5-19, May.
    7. Klößner, Stefan & Becker, Martin & Friedmann, Ralph, 2012. "Modeling and measuring intraday overreaction of stock prices," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1152-1163.
    8. Fiorani, Filo, 2004. "Option Pricing Under the Variance Gamma Process," MPRA Paper 15395, University Library of Munich, Germany.

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