[alpha]-selfdecomposable distributions and related Ornstein-Uhlenbeck type processes
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- Peter Carr & Hélyette Geman & Dilip B. Madan & Marc Yor, 2007. "Self‐Decomposability And Option Pricing," Mathematical Finance, Wiley Blackwell, vol. 17(1), pages 31-57, January.
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Keywords
Infinitely divisible distribution Lévy process Selfdecomposable distribution Stochastic integral representation Langevin type equation Ornstein-Uhlenbeck type process;Statistics
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