Valuation of European and American Option Prices Under the Levy Processes with a Markov Chain Approximation
نویسندگان
چکیده
منابع مشابه
A weak approximation for the Extrema's distributions of Levy processes
Suppose that $X_{t}$ is a one-dimensional and real-valued L'evy process started from $X_0=0$, which ({bf 1}) its nonnegative jumps measure $nu$ satisfying $int_{Bbb R}min{1,x^2}nu(dx)
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ژورنال
عنوان ژورنال: Management Science and Financial Engineering
سال: 2013
ISSN: 2287-2043
DOI: 10.7737/msfe.2013.19.2.037