Expansion formulae for local Lévy models
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- Marjon Ruijter & Kees Oosterlee (CWI), 2012. "Two-dimensional Fourier cosine series expansion method for pricing financial options," CPB Discussion Paper 225, CPB Netherlands Bureau for Economic Policy Analysis.
More about this item
KeywordsLévy process; local volatility; asymptotic expansion; partial-integro differential equation; Fourier methods;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-11-14 (All new papers)
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