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OPTION PRICING WITH VG–LIKE MODELS
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OPTION PRICING WITH VG–LIKE MODELS (2008)OPTION PRICING WITH VG–LIKE MODELSTHE RANGE OF TRADED OPTION PRICES (2006)THE RANGE OF TRADED OPTION PR…Stationary-increment Student and variance-gamma processes (2006)Stationary-increment Student …Student processes (2005)Student processesA note on sufficient conditions for no arbitrage (2005)A note on sufficient conditio…Option pricing by transform methods: extensions, unification and error control (2004)Option pricing by transform m…Stochastic Volatility for Lévy Processes (2003)Stochastic Volatility for Lév…Lévy Processes in Finance (2003)Lévy Processes in FinanceProbability distribution of returns in the Heston model with stochastic volatility* (2002)Probability distribution of r…Power-law correlations, related models for long-range dependence and their simulation (2000)Power-law correlations, relat…Stock market prices and long-range dependence (1999)Stock market prices and long-…Option valuation using the fast Fourier transform (1999)Option valuation using the fa…The Variance Gamma Process and Option Pricing (1998)The Variance Gamma Process an…Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Pr…A long memory property of stock market returns and a new model (1993)A long memory property of sto…The Variance Gamma (V.G.) Model for Share Market Returns (1990)The Variance Gamma (V.G.) Mod…Modelling Financial Time Series. (1987)Modelling Financial Time Seri…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)The Fine Structure of Asset Returns: An Empirical Investigation (2002)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)The Behavior of Stock-Market Prices (1965)The Long Memory of the Efficient Market (2004)Volatility Clustering in Financial Markets: Empirical Facts and Agent-Based Models (2006)Some comments on Hurst exponent and the long memory processes on capital markets (2008)Continuous Martingales and Brownian Motion (1999)A Jump-Diffusion Model for Option Pricing (2002)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Martingales and arbitrage in multiperiod securities markets (1979)Empirical Performance of Alternative Option Pricing Models (1997)A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes (2008)PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH (2008)On the Heston Model with Stochastic Interest Rates (2011)Time-changed Lévy processes and option pricing (2003)From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (1997)Extreme Value Theory as a Risk Management Tool (1999)A multiple indicators model for volatility using intra-daily data (2005)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Tails, Fears, and Risk Premia (2011)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)Pricing early-exercise and discrete barrier options by fourier-cosine series expansions (2009)Scaling of the distribution of fluctuations of financial market indices (1999)Statistical properties of the volatility of price fluctuations (1999)Robust dynamic classes revealed by measuring the response function of a social system (2008)
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References

  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 1998The Variance Gamma Process and Option Pricing1,786 cited
  • 1996Statistics for Long-Memory Processes.1,480 cited
  • 1990The Variance Gamma (V.G.) Model for Share Market Returns1,470 cited
  • 2003Stochastic Volatility for Lévy Processes871 cited
  • 2003Lévy Processes in Finance793 cited
  • 1987Modelling Financial Time Series.598 cited
  • 1999Stock market prices and long-range dependence374 cited
  • 2004Option pricing by transform methods: extensions, unification and error control328 cited
  • 2002Probability distribution of returns in the Heston model with stochastic volatility*219 cited
  • 2006THE RANGE OF TRADED OPTION PRICES205 cited
  • 2005A note on sufficient conditions for no arbitrage165 cited
  • 2005Student processes107 cited
  • 2000Power-law correlations, related models for long-range dependence and their simulation83 cited
  • 2006Stationary-increment Student and variance-gamma processes

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