PRICING DERIVATIVES ON TWO-DIMENSIONAL LÉVY PROCESSES
Year of publication: |
2006
|
---|---|
Authors: | FAJARDO, JOSÉ ; MORDECKI, ERNESTO |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 09.2006, 02, p. 185-197
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Lévy processes | optimal stopping | dual market method | derivative pricing |
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