[图书][B] Option pricing with Lévy process
E Benhamou - econwpa.ub.uni-muenchen.de
In this paper, we assume that log returns can be modelled by a Levy process. We give
explicit formulae for option prices by means of the Fourier transform. We explain how to infer …
explicit formulae for option prices by means of the Fourier transform. We explain how to infer …
Option pricing with Levy Process
E Benhamou - 2002 - econpapers.repec.org
In this paper, we assume that log returns can be modelled by a Levy process. We give
explicit formulae for option prices by means of the Fourier transform. We explain how to infer …
explicit formulae for option prices by means of the Fourier transform. We explain how to infer …
Option Pricing with Levy Process
E Benhamou - 2000 - papers.ssrn.com
In this paper, we assume that log returns can be modelled by a Levy process. We give
explicit formulae for option prices by means of the Fourier transform. We explain how to infer …
explicit formulae for option prices by means of the Fourier transform. We explain how to infer …
[PDF][PDF] Option pricing with Levy Process
E Benhamou - Citeseer
In this paper, we assume that log returns can be modelled by a Levy process. We give
explicit formulae for option prices by means of the Fourier transform. We explain how to infer …
explicit formulae for option prices by means of the Fourier transform. We explain how to infer …
Option pricing with Levy Process
E Benhamou - 2002 - ideas.repec.org
In this paper, we assume that log returns can be modelled by a Levy process. We give
explicit formulae for option prices by means of the Fourier transform. We explain how to infer …
explicit formulae for option prices by means of the Fourier transform. We explain how to infer …