American and European options in multi-factor jump-diffusion models, near expiry
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Volume (Year): 12 (2008)
Issue (Month): 4 (October)
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References listed on IDEAS
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- Das, Sanjiv R., 2002. "The surprise element: jumps in interest rates," Journal of Econometrics, Elsevier, vol. 106(1), pages 27-65, January.
- Svetlana I. Boyarchenko & Sergei Z. Levendorskiĭ, 2002. "Lévy processes," World Scientific Book Chapters,in: Non-Gaussian Merton-Black-Scholes Theory, chapter 2, pages 39-66 World Scientific Publishing Co. Pte. Ltd..
- Svetlana I Boyarchenko & Sergei Z Levendorskii, 2002. "Non-Gaussian Merton-Black-Scholes Theory," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 4955, November.
- Peter Carr & Helyette Geman, 2002. "The Fine Structure of Asset Returns: An Empirical Investigation," The Journal of Business, University of Chicago Press, vol. 75(2), pages 305-332, April.
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