Non-Gaussian Merton-Black-Scholes theory / Svetlana I. Boyarchenko, Sergei Z. Levendorskiĭ.
This book introduces an analytically tractable and computationally effective class of non-Gaussian models for shocks (regular Lévy processes of the exponential type) and related analytical methods similar to the initial Merton-Black-Scholes approach, which the authors call the Merton-Black-Scholes...
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