Nolwenn Le Saux

affiliation not provided to SSRN

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Scholarly Papers (1)

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Approximating Levy Processes with a View to Option Pricing

Number of pages: 22 Posted: 14 May 2009
John Crosby, Nolwenn Le Saux and Aleksandar Mijatovic
affiliation not provided to SSRN, affiliation not provided to SSRN and Imperial College London
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Abstract:

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Levy process, stochastic approximation, barrier and vanilla pricing