Expansion formulae for local Lévy models
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Cited by:
- Marjon Ruijter & Kees Oosterlee, 2012. "Two-dimensional Fourier cosine series expansion method for pricing financial options," CPB Discussion Paper 225, CPB Netherlands Bureau for Economic Policy Analysis.
- Marjon Ruijter & Kees Oosterlee, 2012. "Two-dimensional Fourier cosine series expansion method for pricing financial options," CPB Discussion Paper 225.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
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More about this item
Keywords
Lévy process; local volatility; asymptotic expansion; partial-integro differential equation; Fourier methods;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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