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CALIBRATING THE SMILE WITH MULTIVARIATE TIME-CHANGED BROWNIAN MOTION AND THE ESSCHER TRANSFORM
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References

  • 2003Financial Modelling with Jump Processes3,261 cited
  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,208 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 2006Quantitative Risk Management: Concepts, Techniques, and Tools2,014 cited
  • 2003Lévy Processes in Finance1,192 cited
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  • 2000A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation554 cited
  • 2010Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices312 cited
  • 2008A GARCH Option Pricing Model with Filtered Historical Simulation283 cited
  • 2001Time Changes for Lévy Processes231 cited
  • 2006A Multivariate Jump-Driven Financial Asset Model204 cited
  • 1978Processes that can be Embedded in Brownian Motion161 cited
  • 2011Financial Models with Lévy Processes and Volatility Clustering116 cited
  • 2009Multivariate time changes for Lévy asset models: Characterization and calibration104 cited
  • 2011Financial Models with Levy Processes and Volatility Clustering

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77 cited
  • 1999Option pricing for a logstable asset price model69 cited
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