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.
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- 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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