Duality and Derivative Pricing with Lévy Processes
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- Fajardo, J. & Mordeckiz, E., 2004. "Duality and Derivative Pricing with Lévy Processes," Finance Lab Working Papers flwp_71, Finance Lab, Insper Instituto de Ensino e Pesquisa.
References listed on IDEAS
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- Merton, Robert C., 1976.
"Option pricing when underlying stock returns are discontinuous,"
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More about this item
KeywordsLévy processes; Optimal stopping; Girsanov's Theorem; Dual Market Method; Derivative pricing; Symmetry;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-12-09 (All new papers)
- NEP-FIN-2005-12-09 (Finance)
- NEP-FMK-2005-12-09 (Financial Markets)
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