Publisher
Springer Science and Business Media LLC
Subject
General Economics, Econometrics and Finance,Finance
Reference20 articles.
1. Bates, D.: The skewness premium: Option pricing under asymmetric processes. Adv Futur Options Res 9, 51–82 (1997)
2. Carr, P., Crosby, J.: A class of levy process models with almost exact calibration of both barrier and vanilla fx options. Quant Financ 10(10), 1115–1136 (2010)
3. Carr, P., Lee, R.: Put call symmetry: Extensions and applications. Math Financ 19(4), 523–560 (2009)
4. Carr, P., Wu, L.: Stochastic skew in currency options. J Financ Econ 86(1), 213–247 (2007)
5. Cont, R., Tankov, P.: Financial Modelling with Jump Processes. Chapman and Hall /CRC Financial Mathematics Series, London (2004)
Cited by
1 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. DETERMINATION OF THE LÉVY EXPONENT IN ASSET PRICING MODELS;International Journal of Theoretical and Applied Finance;2019-02