"Computing exponential moments of the discrete maximum of a Lévy ..."

Liming Feng, Vadim Linetsky (2009)

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DOI: 10.1007/S00780-009-0096-X

access: closed

type: Journal Article

metadata version: 2020-07-22

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Liming Feng, Vadim Linetsky:
Computing exponential moments of the discrete maximum of a Lévy process and lookback options. Finance Stochastics 13(4): 501-529 (2009)

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