Option Pricing by Willow Tree Method for Generalized Hyperbolic Lévy Processes
In this paper, a new approach is proposed to construct willow tree (WT) for generalized hyperbolic (GH) Lévy processes. There are two advantages of our proposed approach compared to the classical WT methods. Firstly, it avoids the moments matching from Johnson curve in the known WT construction. Sec...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2023-01-01
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| Series: | Journal of Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2023/9996556 |
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