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Explicit solutions of the exit problem for a class of Lévy processes; applications to the pricing of double-barrier options

By S. Fourati

Abstract

International audienc

Topics: [ MATH.MATH-PR ] Mathematics [math]/Probability [math.PR]
Publisher: Elsevier
Year: 2012
OAI identifier: oai:HAL:hal-00660188v1
Provided by: Hal-Diderot
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