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Tempered stable distributions and processes
14 references·1 citing·38 second hop
Tempered stable distributions and processes (2013)Tempered stable distributions and process…Bilateral gamma distributions and processes in financial mathematics (2007)Bilateral gamma distributions…Asymptotic properties of realized power variations and related functionals of semimartingales (2007)Asymptotic properties of real…Tempering stable processes (2006)Tempering stable processesRealized power variation and stochastic volatility models (2003)Realized power variation and …Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…The Fine Structure of Asset Returns: An Empirical Investigation (2002)The Fine Structure of Asset R…Option Pricing, Interest Rates and Risk Management (2001)Option Pricing, Interest Rate…A Simple Option Formula for General Jump-Diffusion and Other Exponential Levy Processes (2001)A Simple Option Formula for G…OPTION PRICING FOR TRUNCATED LÉVY PROCESSES (2000)OPTION PRICING FOR TRUNCATED …Option valuation using the fast Fourier transform (1999)Option valuation using the fa…Option pricing by Esscher transforms. (1995)Option pricing by Esscher tra…The Variance Gamma (V.G.) Model for Share Market Returns (1990)The Variance Gamma (V.G.) Mod…Hedging of contingent claims under incomplete information (1990)Hedging of contingent claims …Subexponentiality and infinite divisibility (1979)Subexponentiality and infinit…Strong convergence of the Euler–Maruyama approximation for a class of Lévy-driven SDEs (2018)Strong convergence of the Eul…The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Stochastic Volatility for Lévy Processes (2003)Characterization of dependence of multidimensional Lévy processes using Lévy copulas (2006)Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data (2012)The Theory of Scale Functions for Spectrally Negative Lévy Processes (2012)On the tails of waiting-time distributions (1975)On closure and factorization properties of subexponential and related distributions (1980)Subexponential distributions and characterizations of related classes (1989)Large deviations of heavy-tailed random sums with applications in insurance and finance (1997)Asymptotic error distributions for the Euler method for stochastic differential equations (1998)Limit Theorems for Stochastic Processes (2003)Testing for jumps when asset prices are observed with noise–a “swap variance” approach (2008)Testing for jumps in a discretely observed process (2009)Quasi-maximum likelihood estimation of volatility with high frequency data (2010)The risk premia embedded in index options (2015)Option pricing when underlying stock returns are discontinuous (1976)The Variance Gamma Process and Option Pricing (1998)Robust numerical methods for contingent claims under jump diffusion processes (2004)Pricing early-exercise and discrete barrier options by fourier-cosine series expansions (2009)The characteristic function of rough Heston models (2019)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)Option pricing: A simplified approach (1979)On the Time Value of Ruin (1998)The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Martingales and arbitrage in multiperiod securities markets (1979)Martingales and stochastic integrals in the theory of continuous trading (1981)Option pricing and Esscher transform under regime switching (2005)A Guided Tour through Quadratic Hedging Approaches (2010)Numerical Solution of Stochastic Differential Equations with Jumps in Finance (2010)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)Time-changed Lévy processes and option pricing (2003)
this work references cited by second hop

References

  • 2003Financial Modelling with Jump Processes3,217 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
  • 1990The Variance Gamma (V.G.) Model for Share Market Returns1,470 cited
  • 1990Hedging of contingent claims under incomplete information736 cited
  • 1995Option pricing by Esscher transforms.651 cited
  • 2006Tempering stable processes545 cited
  • 2001A Simple Option Formula for General Jump-Diffusion and Other Exponential Levy Processes316 cited
  • 1979Subexponentiality and infinite divisibility307 cited
  • 2007Asymptotic properties of realized power variations and related functionals of semimartingales297 cited
  • 2000OPTION PRICING FOR TRUNCATED LÉVY PROCESSES284 cited
  • 2003Realized power variation and stochastic volatility models243 cited
  • 2001Option Pricing, Interest Rates and Risk Management211 cited
  • 2007Bilateral gamma distributions and processes in financial mathematics169 cited

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  • 2018Strong convergence of the Euler–Maruyama approximation for a class of Lévy-driven SDEs42 cited

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