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Stochastic volatility, jumps and hidden time changes · Study

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ArticleStochastic volatility, jumps and hidden time changes

Dilip B. Madan2002

Article2002

Stochastic volatility, jumps and hidden time changes

Dilip B. Madan · Marc Yor

42 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1985A Theory of the Term Structure of Interest Rates 1987The Pricing of Options on Assets with Stochastic Volatilities 1997Empirical Performance of Alternative Option Pricing Models 1998The Variance Gamma Process and Option Pricing 2002The Fine Structure of Asset Returns: An Empirical Investigation 1990The Variance Gamma (V.G.) Model for Share Market Returns 1997Processes of normal inverse Gaussian type

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2002Ruin theory revisited: stochastic models for operational risk 2004Valuing Bermudan options when asset returns are Lévy processes

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Year2002

Typearticle

Published2002-01-01

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations42

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s780-002-8401-3

openalex_workW2064546237

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