Option Pricing in a Dynamic Variance-Gamma Model
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- Fabio Bellini & Lorenzo Mercuri, 2014. "Option pricing in a conditional Bilateral Gamma model," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(2), pages 373-390, June.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-06-02 (All new papers)
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