Duality and Derivative Pricing with Time-Changed Lévy Processes

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José Fajardo~Ernesto Mordecki, Brésil
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Summary:
In this paper we study the pricing problem of derivatives written in terms of a two dimensional Time–changed L
 
Date: 2 June - Time: 10:30 to 12:00 - Room: 241
Theme: 9.A. Various topics