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The Minimal Entropy Martingale Measure (MEMM) for a Markov-Modulated Exponential Lévy Model
Momeya, Romuald
;
Salah, Zied
- In:
Asia-Pacific Financial Markets
19
(
2012
)
1
,
pp. 63-98
Persistent link: https://www.econbiz.de/10010866374
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2
What is the Natural Scale for a Lévy Process in Modelling Term Structure of Interest Rates?
Akahori, Jirô
;
Tsuchiya, Takahiro
- In:
Asia-Pacific Financial Markets
13
(
2006
)
4
,
pp. 299-313
Persistent link: https://www.econbiz.de/10005727077
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3
Monte Carlo Option Pricing for Tempered Stable (CGMY) Processes
Poirot, Jérémy
;
Tankov, Peter
- In:
Asia-Pacific Financial Markets
13
(
2006
)
4
,
pp. 327-344
Persistent link: https://www.econbiz.de/10005075679
Saved in:
4
Lévy processes driven by stochastic volatility
Chourdakis, Kyriakos
- In:
Asia-Pacific Financial Markets
12
(
2005
)
4
,
pp. 333-352
Persistent link: https://www.econbiz.de/10005727038
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