Option pricing when underlying stock returns are discontinuous

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Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method
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Pricing and hedging for correlation options with regime switching and common jump risk
A front-fixing finite element method for pricing American options under regime-switching jump-diffusion models
Two refreshing views of fluctuation theorems through kinematics elements and exponential martingale
A penalty-based method from reconstructing smooth local volatility surface from American options
Option pricing under the Merton model of the short rate
A fast Fourier transform technique for pricing European options with stochastic volatility and jump risk
On properties of continuous-time random walks with non-Poissonian jump-times
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Testing for pure-jump processes for high-frequency data
An iterative method for pricing American options under jump-diffusion models
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THE FORWARD PDE FOR EUROPEAN OPTIONS ON STOCKS WITH FIXED FRACTIONAL JUMPS
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Fast numerical valuation of options with jump under Merton's model
A Monte Carlo multi-asset option pricing approximation for general stochastic processes
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Pricing European options in a double exponential jump-diffusion model with two market structure risks and their comparison
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Option pricing under risk-minimization criterion in an incomplete market with the finite difference method
Estimating option Greeks under the stochastic volatility using simulation
Option prices under Bayesian learning: implied volatility dynamics and predictive densities

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