From local volatility to local Lévy models (Q4610266): Difference between revisions

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+Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
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+Processes of normal inverse Gaussian type
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+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
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+Stochastic Volatility for Lévy Processes
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+Q3915688
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+Time Changes for Lévy Processes
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+Mimicking the one-dimensional marginal distributions of processes having an Ito differential
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+Q4254916
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+A Jump-Diffusion Model for Option Pricing
@@ Property / cites work: A Jump-Diffusion Model for Option Pricing / rank @@
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+First passage times of a jump diffusion process
@@ Property / cites work: First passage times of a jump diffusion process / rank @@
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+The Variance Gamma Process and Option Pricing
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+Making Markov martingales meet marginals: With explicit constructions
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