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Exotic Option Pricing and Advanced Lévy Models (Wilmott Collection)
Exotic Option Pricing and Advanced Lvy Models - Wilmott Collection
Author: Andreas Kyprianou, Wim Schoutens, Paul Wilmott
Since around the turn of the millennium there has been a general acceptance that one of the more practical improvements one may make in the light of the shortfalls of the classical Black-Scholes model is to replace the underlying source of randomness, a Brownian motion, by a Lévy process. Working with Lévy processes allows one to capture desirab...  more »
ISBN-13: 9780470016848
ISBN-10: 0470016841
Publication Date: 10/21/2005
Pages: 344
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Publisher: Wiley
Book Type: Hardcover
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