A note on convergence of option prices and their Greeks for Lévy models

Author: Benth Fred Espen   Nunno Giulia Di   Khedher Asma  

Publisher: Taylor & Francis Ltd

ISSN: 1744-2508

Source: Stochastics: An International Journal of Probability and Stochastic Processes, Vol.85, Iss.6, 2013-12, pp. : 1015-1039

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Abstract