SSRN Electronic Journal · 2012 · 19 citations · 51 references
EngineeringEconomicsFinanceFinancial EconomicsProbability TheoryStochastic ProcessesBrownian MotionDiffusion ProcessesDiscrete-time Stochastic ProcessesLévy ProcessesOption PricingOption Pricing ModelsLévy - Itô DecompositionLévy - Khintchine FormulaLévy MeasureLévy-driven Stochastic Differential EquationsOption Pricing Theory
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Option valuation using the fast Fourier transform
Peter Carr, Dilip B. Madan · The Journal of Computational Finance · 1999 · 2.3K citations
A Jump-Diffusion Model for Option Pricing
Steven Kou · Management Science · 2002 · 1.9K citations
The Variance Gamma Process and Option Pricing
Dilip B. Madan, Peter Carr, Eric C. Chang · European Finance Review · 1998 · 1.9K citations
The Fine Structure of Asset Returns: An Empirical Investigation
Peter Carr, Hélyette Geman, Dilip B. Madan et al. · The Journal of Business · 2002 · 1.8K citations
The Variance Gamma (V.G.) Model for Share Market Returns
Dilip B. Madan, E. Seneta · The Journal of Business · 1990 · 1.6K citations