A Simple Option Formula for General Jump-Diffusion and other Exponential Levy Processes
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References listed on IDEAS
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Keywords
option pricing; jump-diffusion; Levy processes; Fourier; characteristic function; transforms; residue; call options; discontinuous; jump processes; analytic characteristic; Levy-Khintchine; infinitely divisible; independent increments;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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