Integro-differential equations for option prices in exponential Lévy models
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References listed on IDEAS
- Jouini Elyes & Kallal Hedi, 1995. "Martingales and Arbitrage in Securities Markets with Transaction Costs," Journal of Economic Theory, Elsevier, vol. 66(1), pages 178-197, June.
- repec:dau:papers:123456789/5630 is not listed on IDEAS
- repec:crs:wpaper:9513 is not listed on IDEAS
- repec:dau:papers:123456789/1850 is not listed on IDEAS
- Bruno Bouchard, 2006. "No-arbitrage in Discrete-time Markets with Proportional Transaction Costs and General Information structure," Finance and Stochastics, Springer, vol. 10(2), pages 276-297, April.
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KeywordsLévy process; jump-diffusion models; option pricing; integro-differential equations; viscosity solutions.;
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