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APPROXIMATING LÉVY PROCESSES WITH A VIEW TO OPTION PRICING
16 references·3 citing·24 second hop
APPROXIMATING LÉVY PROCESSES WITH A VIEW TO OPTION PRICING (2010)APPROXIMATING LÉVY PROCESSES WITH A VIEW …Theory 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…ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM (2004)ANALYTICAL PRICING OF DOUBLE-…Lévy Processes in Finance (2003)Lévy Processes in FinanceLévy processes in finance pricing financial derivatives (2003)Lévy processes in finance pri…First passage times of a jump diffusion process (2003)First passage times of a jump…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…A Jump-Diffusion Model for Option Pricing (2002)A Jump-Diffusion Model for Op…Mathematical Methods for Foreign Exchange (2001)Mathematical Methods for Fore…OPTION PRICING FOR TRUNCATED LÉVY PROCESSES (2000)OPTION PRICING FOR TRUNCATED …The Variance Gamma Process and Option Pricing (1998)The Variance Gamma Process an…Processes of normal inverse Gaussian type (1997)Processes of normal inverse G…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…Ghost calibration and the pricing of barrier options and CDS in spectrally one-sided Lévy models: the parabolic Laplace inversion method (2014)Ghost calibration and the pri…PRICES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS, NEAR BARRIER (2011)PRICES OF BARRIER AND FIRST-T…DOUBLE BARRIER OPTIONS IN REGIME-SWITCHING HYPER-EXPONENTIAL JUMP-DIFFUSION MODELS (2011)DOUBLE BARRIER OPTIONS IN REG…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)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 Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Continuous Martingales and Brownian Motion (1999)Option valuation using the fast Fourier transform (1999)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Estimating quadratic variation using realized variance (2002)Stochastic Integration and Differential Equations (2005)The Behavior of Stock-Market Prices (1965)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)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)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)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 2002A Jump-Diffusion Model for Option Pricing1,895 cited
  • 1998The Variance Gamma Process and Option Pricing1,786 cited
  • 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
  • 1997Processes of normal inverse Gaussian type1,224 cited
  • 2003Lévy processes in finance pricing financial derivatives807 cited
  • 2003Lévy Processes in Finance793 cited
  • 2004Option Pricing Under a Double Exponential Jump Diffusion Model654 cited
  • 2003First passage times of a jump diffusion process435 cited
  • 2000OPTION PRICING FOR TRUNCATED LÉVY PROCESSES284 cited
  • 2002Non-Gaussian Merton-Black-Scholes Theory216 cited
  • 2001Mathematical Methods for Foreign Exchange216 cited
  • 2004ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM

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Cited by

  • 2011DOUBLE BARRIER OPTIONS IN REGIME-SWITCHING HYPER-EXPONENTIAL JUMP-DIFFUSION MODELS36 cited
  • 2014Ghost calibration and the pricing of barrier options and CDS in spectrally one-sided Lévy models: the parabolic Laplace inversion method30 cited
  • 2011PRICES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS, NEAR BARRIER30 cited