Diffusion approximation of Lévy processes with a view towards finance
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DOI: 10.1515/mcma.2011.003
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References listed on IDEAS
- Dilip B. Madan & Peter P. Carr & Eric C. Chang, 1998. "The Variance Gamma Process and Option Pricing," Review of Finance, European Finance Association, vol. 2(1), pages 79-105.
- Peter Carr & Hélyette Geman & Dilip B. Madan & Marc Yor, 2003.
"Stochastic Volatility for Lévy Processes,"
Mathematical Finance, Wiley Blackwell, vol. 13(3), pages 345-382, July.
- Helyette Geman & P. Carr & D. Madan & Marc Yor, 2003. "Stochastic Volatility for Levy Processes," Post-Print halshs-00144385, HAL.
- repec:dau:papers:123456789/1392 is not listed on IDEAS
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Cited by:
- Laetitia Badouraly Kassim & Jérôme Lelong & Imane Loumrhari, 2015. "Importance sampling for jump processes and applications to finance," Post-Print hal-00842362, HAL.
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Keywords
Lévy process; infinite activity; diffusion approximation; Monte Carlo; weak approximation; error expansion; a posteriori error estimates; adaptivity; error control; mathematical finance;All these keywords.
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