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Symmetry and duality in Lévy markets
16 references·3 citing·25 second hop
Symmetry and duality in Lévy markets (2006)Symmetry and duality in Lévy marketsTheory of rational option pricing (2005)Theory of rational option pri…Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Option Pricing Under a Double…The Finite Moment Log Stable Process and Option Pricing (2003)The Finite Moment Log Stable …Lévy Processes in Finance (2003)Lévy Processes in FinanceLévy processes in finance pricing financial derivatives (2003)Lévy processes in finance pri…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…Non-Gaussian Merton-Black-Scholes Theory (2002)Non-Gaussian Merton-Black-Sch…The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)The Generalized Hyperbolic Mo…Pricing contingent claims on stocks driven by Lévy processes (1999)Pricing contingent claims on …New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model (1998)New Insights into Smile, Misp…Changes of numéraire, changes of probability measure and option pricing (1995)Changes of numéraire, changes…Limit Theorems for Stochastic Processes (1987)Limit Theorems for Stochastic…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Multivariate Extension of Put-Call Symmetry (2010)Multivariate Extension of Put…A Numerical Analysis of American Options with Regime Switching (2010)A Numerical Analysis of Ameri…Symmetric martingales and symmetric smiles (2009)Symmetric martingales and sym…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Theory of the Term Structure of Interest Rates (1985)Closed Form Solutions for Term Structure Derivatives with Log‐Normal Interest Rates (1997)LIBOR and swap market models and measures (1997)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)A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005)The application of continuous-time random walks in finance and economics (2005)Pricing early-exercise and discrete barrier options by fourier-cosine series expansions (2009)Stochastic Volatility for Lévy Processes (2003)Time-changed Lévy processes and option pricing (2003)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)Some remarks on first passage of Lévy processes, the American put and pasting principles (2005)Fractional Diffusion Models of Option Prices in Markets With Jumps (2006)Arbitrage Theory in Continuous Time (1998)Affine processes and applications in finance (2003)Variance Risk Premiums (2008)
this work references cited by second hop

References

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  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
  • 1987Limit Theorems for Stochastic Processes1,319 cited
  • 1995Changes of numéraire, changes of probability measure and option pricing808 cited
  • 2003Lévy processes in finance pricing financial derivatives807 cited
  • 2003Lévy Processes in Finance793 cited
  • 2004Option Pricing Under a Double Exponential Jump Diffusion Model654 cited
  • 2003The Finite Moment Log Stable Process and Option Pricing517 cited
  • 1998New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model449 cited
  • 1999The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures369 cited
  • 2002Non-Gaussian Merton-Black-Scholes Theory324 cited
  • 1999Pricing contingent claims on stocks driven by Lévy processes

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282 cited

Cited by

  • 2010Multivariate Extension of Put-Call Symmetry33 cited
  • 2010A Numerical Analysis of American Options with Regime Switching31 cited
  • 2009Symmetric martingales and symmetric smiles31 cited