A class of Lévy process models with almost exact...

A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options

Carr, Peter, Crosby, John
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Volume:
10
Language:
english
Journal:
Quantitative Finance
DOI:
10.1080/14697680903413605
Date:
December, 2010
File:
PDF, 435 KB
english, 2010
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