Philipp Beyer

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Pricing Forward Start Options in Models Based on (Time-Changed) Levy Processes

Number of pages: 14 Posted: 14 Jan 2009 Last Revised: 19 Jan 2009
Philipp Beyer and Joerg Kienitz
affiliation not provided to SSRN and University of Wuppertal - Applied Mathematics
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Abstract:

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Variance Gamma, Normal Inverse Gaussian, Gamma Ornstein Uhlenbeck, CIR, Subordinator, Time change, forward characteristic function, Option Pricing