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Computing exponential moments of the discrete maximum of a Lévy process and lookback options
Feng, Liming
;
Linetsky, Vadim
- In:
Finance and stochastics
13
(
2009
)
4
,
pp. 501-529
Persistent link: https://www.econbiz.de/10003899518
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Computational methods for Levy and jump diffusion processes : applications in financial engineering
Feng, Liming
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2006
Persistent link: https://www.econbiz.de/10003908099
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