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Jump–Type Lévy Processes
16 references·2 citing·32 second hop
Jump–Type Lévy Processes (2009)Jump–Type Lévy ProcessesStochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Financial Modelling with Jump Processes (2004)Financial Modelling with Jump…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…A Jump-Diffusion Model for Option Pricing (2002)A Jump-Diffusion Model for Op…Stable Paretian Models in Finance (2000)Stable Paretian Models in Fin…Processes of normal inverse Gaussian type (1997)Processes of normal inverse G…Hyperbolic Distributions in Finance (1995)Hyperbolic Distributions in F…The Variance Gamma (V.G.) Model for Share Market Returns (1990)The Variance Gamma (V.G.) Mod…Limit Theorems for Stochastic Processes (1987)Limit Theorems for Stochastic…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Théorie de la spéculation (1900)Théorie de la spéculationFourier-Based Valuation Methods in Mathematical Finance (2013)Fourier-Based Valuation Metho…Statistical estimation of multivariate Ornstein–Uhlenbeck processes and applications to co-integration (2012)Statistical estimation of mul…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)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of rational option pricing (2005)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Risk, Return, and Equilibrium: Empirical Tests (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Theory of Rational Option Pricing (1973)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)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)Stochastic Volatility for Lévy Processes (2003)Time-changed Lévy processes and option pricing (2003)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)Scaling behaviour in the dynamics of an economic index (1995)5 Stochastic volatility (1996)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)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

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 1900Théorie de la spéculation2,605 cited
  • 2002A Jump-Diffusion Model for Option Pricing1,895 cited
  • 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
  • 1990The Variance Gamma (V.G.) Model for Share Market Returns1,470 cited
  • 1987Limit Theorems for Stochastic Processes1,319 cited
  • 1997Processes of normal inverse Gaussian type1,224 cited
  • 1995Hyperbolic Distributions in Finance959 cited
  • 2003Lévy processes in finance pricing financial derivatives807 cited
  • 2003Lévy Processes in Finance793 cited
  • 2000Stable Paretian Models in Finance718 cited
  • 2004Financial Modelling with Jump Processes419 cited

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  • 2013Fourier-Based Valuation Methods in Mathematical Finance36 cited
  • 2012Statistical estimation of multivariate Ornstein–Uhlenbeck processes and applications to co-integration30 cited