Pricing foreign equity option with stochastic volatility (Q1618699): Difference between revisions

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+CURRENCY-TRANSLATED FOREIGN EQUITY OPTIONS WITH PATH DEPENDENT FEATURES AND THEIR MULTI-ASSET EXTENSIONS
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+Truncated Lévy process with scale-invariant behavior
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+Time evolution of stochastic processes with correlations in the variance: stability in power-law tails of distributions
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+The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate
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+Option pricing when underlying stock returns are discontinuous
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Post-'87 crash fears in the S\&P 500 futures option market
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+Transform Analysis and Asset Pricing for Affine Jump-diffusions
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+Time Changes for Lévy Processes
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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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+Jump-diffusion processes in the foreign exchange markets and the release of macroeconomic news
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+Financial Modelling with Jump Processes
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+Q4104175
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+Option Pricing With V. G. Martingale Components<sup>1</sup>
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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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+Processes of normal inverse Gaussian type
@@ Property / cites work: Processes of normal inverse Gaussian type / rank @@
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+Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
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