Finite element based Monte Carlo simulation of options on Lévy driven assets
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DOI: 10.1142/S2424786318500135
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Cited by:
- Søren Asmussen, 2022. "On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance," Finance and Stochastics, Springer, vol. 26(3), pages 383-416, July.
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Keywords
CGMY model; finite element method; Monte Carlo simulation; Lévy processes; VG model;All these keywords.
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