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Keywords: Characteristic function
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2007) 15 (2): 1–29.
Published: 30 November 2007
...Bon Il Ku; Young Ho Eom; Woon Wook Jang We study an efficient numerical method for pricing European options when the dynamics of the underlying asset are described by Levy processes. In this case. we can write a characteristic function solution for a specific Levy option model and then take its...
