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Convergence of Option Rewards for Exponential Levy Type Price Processes Controlled by Semi-Markov Indices
Mälardalen University, Department of Mathematics and Physics.
2007 (English)Report (Other (popular science, discussion, etc.))
Abstract [en]

In this article, convergence for

option rewards when the underlying asset is a

perturbabated exponential Lévy type price process

controlled by a semi-Markov indices is studied. Both

European and American type options are considered.

Place, publisher, year, edition, pages
Västerås: Department of Mathematics and Physics, Mälardalen University , 2007.
Series
Research report / Department of Mathematics and Physics, Mälardalen University, ISSN 1404-4978 ; 2006:2
National Category
Mathematics
Identifiers
URN: urn:nbn:se:mdh:diva-3417OAI: oai:DiVA.org:mdh-3417DiVA, id: diva2:116081
Available from: 2007-04-18 Created: 2007-04-18 Last updated: 2015-07-30Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
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Language
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  • en-GB
  • en-US
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