Jonas Kiessling

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Let the (log-)prices of a collection of securities be given by a d–dimensional Lévy process Xt having infinite activity and a smooth density. The value of a European contract with payoff g(x) maturing at T is determined by E[g(XT)]. Let ¯ XT be a finite activity approximation to XT , where diffusion is introduced to approximate jumps smaller than a given(More)
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