On an integral arising in mathematical Finance

Publication Type:
Chapter
Citation:
Nonlinear Economic Dynamics and Financial Modelling: Essays in Honour of Carl Chiarella, 2014, pp. 355 - 370
Issue Date:
2014-05-01
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© 2014 Springer International Publishing Switzerland. All rights are reserved. We consider an integral which arises in several problems in analysis and financial mathematics. We significantly simplify the integral, yielding a tractable form which is more useful for explicit calculations.
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