SSRN Electronic Journal · 2005 · 29 citations · 0 references
EngineeringFinanceMathematicsFinancial EconomicsProbability TheoryStochastic ProcessesBrownian MotionJump ProcessesLévy ProcessesMarkov ProcessesOption PricingOption Pricing ModelsContinuous-time ModelsJump-diffusion ModelsJump-diffusion ProcessesLévy - Itô DecompositionLévy - Khintchine FormulaLévy MeasureLévy-driven Stochastic Differential EquationsOption Pricing Under Stochastic Volatility