In: Non-Gaussian Merton-Black-Scholes Theory
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- Ernst Eberlein & Kathrin Glau & Antonis Papapantoleon, 2009. "Analyticity of the Wiener-Hopf factors and valuation of exotic options in L\'evy models," Papers 0911.0373, arXiv.org, revised Oct 2010.
- N. Reich & C. Schwab & C. Winter, 2010. "On Kolmogorov equations for anisotropic multivariate Lévy processes," Finance and Stochastics, Springer, vol. 14(4), pages 527-567, December.
- Jos'e E. Figueroa-L'opez & Peter Tankov, 2012. "Small-time asymptotics of stopped L\'evy bridges and simulation schemes with controlled bias," Papers 1203.2355, arXiv.org, revised Jul 2014.
- Sergei Levendorskii, 2002. "Pseudo-diffusions and Quadratic term structure models," Papers cond-mat/0212249, arXiv.org, revised Apr 2004.
- Denis Belomestny, 2009. "Spectral estimation of the fractional order of a LÃ©vy process," SFB 649 Discussion Papers SFB649DP2009-021, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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KeywordsNon-Gaussian Models; Merton-Black-Scholes Theory; Levy Processes; American Options; European Options; Feller Processes;
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- A1 - General Economics and Teaching - - General Economics
- A2 - General Economics and Teaching - - Economic Education and Teaching of Economics
- E6 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook
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