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A theory of non-Gaussian option pricing

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References

1973The Pricing of Options and Corporate Liabilities29,064 cited
1973Theory of Rational Option Pricing8,060 cited
1976Option pricing when underlying stock returns are discontinuous5,965 cited
1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
1999Scaling of the distribution of fluctuations of financial market indices893 cited
2000Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing460 cited
1998New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model449 cited
2014An Introduction to the Mathematics of Financial Derivatives325 cited

Cited by

2020Generalised Geometric Brownian Motion: Theory and Applications to Option Pricing65 cited
2016Predicting Systemic Risk with Entropic Indicators34 cited

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