Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications

Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications. Mijatović, A., Pistorius, M. R., & Stolte, J. J. Appl. Probab., 52(4):1076–1096, 2015.

Paper doi bibtex

@article{MR3439173,
	Author = {Mijatovi{\'c}, Aleksandar and Pistorius, Martijn R. and Stolte, Johannes},
	Coden = {JPRBAM},
	Date-Added = {2016-11-24 01:25:50 +0000},
	Date-Modified = {2016-11-24 01:25:50 +0000},
	Doi = {10.1239/jap/1450802754},
	Fjournal = {Journal of Applied Probability},
	Issn = {0021-9002},
	Journal = {J. Appl. Probab.},
	Mrclass = {65C05 (60J75 91G60)},
	Mrnumber = {3439173},
	Mrreviewer = {Benjamin Jourdain},
	Number = {4},
	Pages = {1076--1096},
	Title = {Randomisation and recursion methods for mixed-exponential {L}\'evy models, with financial applications},
	Url = {http://dx.doi.org/10.1239/jap/1450802754},
	Volume = {52},
	Year = {2015},
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	Bdsk-Url-1 = {http://dx.doi.org/10.1239/jap/1450802754}}

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