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L. Peter Jennergren
Information about the author L. Peter Jennergren will soon be added to the site.
Found
2 papers
in total
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Currency option pricing with mean reversion and uncovered interest parity: A revision of the Garman–Kohlhagen model
1997
We consider a model for the pricing of currency options where the logarithm of the...
A class of options with stochastic lives and an extension of the Black–Scholes formula
1996
Certain options have a fixed date of maturity but may be cancelled prematurely. This...
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