Sample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricing
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- Søren Asmussen, 2022. "On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance," Finance and Stochastics, Springer, vol. 26(3), pages 383-416, July.
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This paper has been announced in the following NEP Reports:- NEP-ORE-2021-02-22 (Operations Research)
- NEP-SEA-2021-02-22 (South East Asia)
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