References

• 2007Brownian Motion and Stochastic Calculus7,544 cited
• 1998Brownian Motion and Stochastic Calculus2,219 cited
• 1998The Variance Gamma Process and Option Pricing1,786 cited
• 1990The Variance Gamma (V.G.) Model for Share Market Returns1,470 cited
• 1995Hyperbolic Distributions in Finance959 cited
• 2003Time-changed Lévy processes and option pricing674 cited
• 1991Option Pricing With V. G. Martingale Components1411 cited
• 1997A Continuity Correction for Discrete Barrier Options351 cited
• 2004Specification Analysis of Option Pricing Models Based on Time‐Changed Lévy Processes321 cited
• 1997The normal inverse gaussian lévy process: simulation and approximation284 cited
• 1999Term Structure Models Driven by General Lévy Processes271 cited
• 1999Connecting discrete and continuous path-dependent options208 cited
• 1990Principles of Random Variate Generation173 cited
• 2002Pure jump Lévy processes for asset price modelling115 cited
• 2003Valuing path-dependent options in the variance-gamma model by Monte Carlo with a gamma bridge109 cited
• 1997