Variance Gamma Pricing of American Futures Options
In financial markets under uncertainty, the classical Black-Scholes model cannot explain the empirical facts such as fat tails observed in the probability density. To overcome this drawback, during the last decade, Lévy process and stochastic volatility models were introduced to financial modeling....
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| Format: | Others |
| Language: | English English |
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Florida State University
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| Online Access: | http://purl.flvc.org/fsu/fd/FSU_migr_etd-0691 |