Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

OPTION PRICING FOR TRUNCATED LÉVY PROCESSES

3 references·16 citing·38 second hop

FromToDepth

this work references cited by second hop

References

1997Processes of normal inverse Gaussian type1,224 cited
1985Option Pricing and Replication with Transactions Costs915 cited
1998New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model449 cited

Cited by

2002Optimal stopping and perpetual options for Lévy processes233 cited
2002Perpetual American Options Under Lévy Processes181 cited
2004PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES159 cited
2002Barrier options and touch-and-out options under regular Lévy processes of exponential type144 cited
2004Fast deterministic pricing of options on Lévy driven assets144 cited
2010Wiener–Hopf factorization and distribution of extrema for a family of Lévy processes130 cited
2001Normal Modified Stable Processes128 cited
2013Tempered stable distributions and processes120 cited
2005Wavelet Galerkin pricing of American options on Lévy driven assets109 cited
2010Tempered stable and tempered infinitely divisible GARCH models99 cited
2007Financial market models with Lévy processes and time-varying volatility94 cited
2010Time series analysis for financial market meltdowns

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

89 cited

2009Fast and accurate pricing of barrier options under Lévy processes88 cited

2009A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes76 cited

2006Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns*69 cited

2009Computing VAR and AVaR in Infinitely Divisible Distributions68 cited