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Exponential stock models driven by tempered stable processes
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Exponential stock models driven by tempered stable processes (2014)Exponential stock models driven by temper…Tempered stable distributions and processes (2013)Tempered stable distributions…Tempered Infinitely Divisible Distributions and Processes (2011)Tempered Infinitely Divisible…Financial Models with Levy Processes and Volatility Clustering (2011)Financial Models with Levy Pr…Minimal fq-martingale measures for exponential Lévy processes (2007)Minimal fq-martingale measure…Bilateral gamma distributions and processes in financial mathematics (2007)Bilateral gamma distributions…Tempering stable processes (2006)Tempering stable processesEsscher transforms and the minimal entropy martingale measure for exponential Lévy models (2006)Esscher transforms and the mi…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…On the minimal entropy martingale measure (2002)On the minimal entropy martin…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 …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)Variance Risk Premiums (2008)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)The Distribution of Share Price Changes (1972)A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices (1974)Multivariate tests of financial models (1982)A Jump-Diffusion Model for Option Pricing (2002)Option Pricing and Replication with Transactions Costs (1985)Processes of normal inverse Gaussian type (1997)New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model (1998)Optimal stopping and perpetual options for Lévy processes (2002)Perpetual American Options Under Lévy Processes (2002)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Existence of Lévy term structure models (2007)Density Approximations for Multivariate Affine Jump-Diffusion Processes (2016)Option pricing when underlying stock returns are discontinuous (1976)The Variance Gamma Process and Option Pricing (1998)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)Time-changed Lévy processes and option pricing (2003)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)Backward Stochastic Differential Equations in Finance (1997)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2006)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)
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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
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  • 2000OPTION PRICING FOR TRUNCATED LÉVY PROCESSES284 cited
  • 2007Bilateral gamma distributions and processes in financial mathematics169 cited
  • 2002On the minimal entropy martingale measure123 cited
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  • 2006Esscher transforms and the minimal entropy martingale measure for exponential Lévy models104 cited
  • 2011Financial Models with Levy Processes and Volatility Clustering77 cited
  • 2007Minimal fq-martingale measures for exponential Lévy processes66 cited
  • 2011

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Tempered Infinitely Divisible Distributions and Processes
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