Laurent Nguyen-Ngoc
Abstract
Recently, financial models of the type S(t) = exp(Xt), (1) where X is a Lévy process, have attracted a lot of interest, both among aca-demics and the industry. Indeed, these models are a natural generalization of
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Recently, financial models of the type S(t) = exp(Xt), (1) where X is a Lévy process, have attracted a lot of interest, both among aca-demics and the industry. Indeed, these models are a natural generalization of
Key concepts: Exotic option, Valuation of options, Mathematical economics, Binary option, Valuation (finance), Stochastic game, Econometrics, Asian option