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research
Numerical methods for Lévy processes
Authors
N. Hilber
N. Reich
C. Schwab
C. Winter
Publication date
18 June 2018
Publisher
Abstract
We survey the use and limitations of some numerical methods for pricing derivative contracts in multidimensional geometric Lévy model
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oai:doc.rero.ch:316420
Last time updated on 07/07/2018
