SELF-DECOMPOSABILITY AND OPTION PRICING (Q3446058): Difference between revisions

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+Lévy Processes and Stochastic Calculus
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+Normal rank
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+Processes of normal inverse Gaussian type
@@ Property / cites work: Processes of normal inverse Gaussian type / rank @@
+Normal rank
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+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
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+Post-'87 crash fears in the S\&P 500 futures option market
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+Nongaussian Limit Distributions of Lacunary Trigonometric Series
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+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
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+Stochastic Volatility for Lévy Processes
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+Financial Modelling with Jump Processes
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+Transform Analysis and Asset Pricing for Affine Jump-diffusions
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+Processes of Meixner type
@@ Property / cites work: Processes of Meixner type / rank @@
+Normal rank
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Self-similar processes with independent increments associated with Lévy and Bessel processes.
+Normal rank
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+Option pricing using variance gamma Markov chains
@@ Property / cites work: Option pricing using variance gamma Markov chains / rank @@
+Normal rank
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+Semi-Stable Stochastic Processes
@@ Property / cites work: Semi-Stable Stochastic Processes / rank @@
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+The Variance Gamma Process and Option Pricing
@@ Property / cites work: The Variance Gamma Process and Option Pricing / rank @@
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+Option Pricing With V. G. Martingale Components<sup>1</sup>
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+Option pricing when underlying stock returns are discontinuous
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+One-dimensional Brownian motion and the three-dimensional Bessel process
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+Infinitely Divisible Laws Associated with Hyperbolic Functions
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+Self-similar processes with independent increments
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+Q4937701
@@ Property / cites work: Q4937701 / rank @@
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