References

• 1998The Variance Gamma Process and Option Pricing1,786 cited
• 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
• 1990The Variance Gamma (V.G.) Model for Share Market Returns1,470 cited
• 1997Processes of normal inverse Gaussian type1,224 cited
• 2003First passage times of a jump diffusion process435 cited
• 1991Option Pricing With V. G. Martingale Components1411 cited
• 1997A Continuity Correction for Discrete Barrier Options351 cited
• 2002Non-Gaussian Merton-Black-Scholes Theory324 cited
• 2000OPTION PRICING FOR TRUNCATED LÉVY PROCESSES284 cited
• 1991Path Dependent Options: The Case of Lookback Options281 cited
• 1999Connecting discrete and continuous path-dependent options208 cited
• 2008PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH188 cited
• 2002Perpetual American Options Under Lévy Processes181 cited
• 2004PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES159 cited
• 2010Wiener–Hopf factorization and distribution of extrema for a family of Lévy processes130 cited