Pricing currency options in a fractional Brownian motion with jumps

The Advanced Theory of Statistics.

G. M. Clarke, M. G. Kendall, A. Stuart · Journal of the Royal Statistical Society Series A (General) · 1978 · 6.7K citations

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Option pricing when underlying stock returns are discontinuous

Robert C. Merton · Journal of Financial Economics · 1976 · 6.1K citations · Full text

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A Jump-Diffusion Model for Option Pricing

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Specification Analysis of Affine Term Structure Models

Qiang Dai, Kenneth J. Singleton · The Journal of Finance · 2000 · 1.8K citations · Full text

Business, Economics, Finance +17

The jump-risk premia implicit in options: evidence from an integrated time-series study

Jun Pan · Journal of Financial Economics · 2002 · 1.8K citations

Business, Economics, Finance +14