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- W144629952 abstract "Exponential Levy option pricing models are capable of explaining the jump patterns and the leptokurtic features of market option prices and the Merton model with normally distributed jump sizes is one such model which has been much considered in the literature. For this model, we develop a numerical method based on Mathematica’s NDSolve function. Functional programming capabilities in Mathematica allows the development of an efficient code and numerical evidence of the accuracy and efficiency are given. Our code forms part of a computational environment that regroups several algorithms for pricing European and American options. Examples illustrating some capabilities of the software are given." @default.
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- W144629952 date "2013-01-01" @default.
- W144629952 modified "2023-10-16" @default.
- W144629952 title "Option Pricing under an Exponential Lévy Model Using Mathematica" @default.
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- W144629952 doi "https://doi.org/10.1007/978-3-642-39640-3_6" @default.
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