A PDE approach to jump-diffusions
Author:
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/14697688.2010.531042
Reference47 articles.
1. Brownian-time processes: The PDE connection II and the corresponding Feynman-Kac formula
2. Brownian-time processes: The PDE Connection and the half-derivative generator
3. Asymptotics and calibration of local volatility models
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