Option pricing in an exponential MixedTS Lévy process
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DOI: 10.1007/s10479-016-2180-x
Abstract: In this paper we present an option pricing model based on the assumption that the underlying asset price is an exponential Mixed Tempered Stable Lévy process. We also introduce a new R package called PricingMixedTS… read more here.
Keywords: mixedts process; option; exponential mixedts; pricing exponential ... See more keywords