Dynamic sensitivity analysis in Levy process driven option models
Option prices in the Black-Scholes model can usually be expressed as solutions of partial differential equations (PDE). In general exponential Levy models an additional integral term has to be added and the prices can be expressed as solutions of partial integro-differential equations (PIDE). The se...
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London School of Economics and Political Science (University of London)
2008
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.645751 |