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Cites work
- A two-state jump model
- Option pricing in the presence of natural boundaries and a quadratic diffusion term
- Option pricing using variance gamma Markov chains
- Option pricing when underlying stock returns are discontinuous
- Option pricing: A simplified approach
- THE GARCH OPTION PRICING MODEL
- The pricing of options and corporate liabilities
- The Variance Gamma Process and Option Pricing
- Valuing foreign exchange rate derivatives with a bounded exchange process
Cited in
(7)- OPTION PRICING WITH VG–LIKE MODELS
- Two-state volatility transition pricing and hedging of TXO options
- scientific article; zbMATH DE number 1944280 (Why is no real title available?)
- Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance
- A two-state jump model
- Valuing Bermudan options when asset returns are Lévy processes
- A linear two-state model with complex dynamics
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