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The book by Cont and Tankov is probably a good place to start.I would prefer to find an analytical solution.In general, 'analytical' solutions don't exist/only on paper.Monte Carlo canAnother robust solution is PDE/FDM.
The book by Cont and Tankov is probably a good place to start.
I would prefer to find an analytical solution.
In general, 'analytical' solutions don't exist/only on paper.
Monte Carlo can
Another robust solution is PDE/FDM.
