A short note on option pricing with Lévy Processes
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Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00542475
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Other versions of this item:
- Dominique Guegan & Hanjarivo Lalaharison, 2010. "A short note on option pricing with Lévy Processes," Documents de travail du Centre d'Economie de la Sorbonne 10078, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
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Keywords
Lévy processes; pricing; incomplet markets; risk neutral measure; Processus de Lévy; marchés incomplets; mesure risque neutre;All these keywords.
JEL classification:
- G1 - Financial Economics - - General Financial Markets
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
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