Correlated Time-Changed Lévy Processes

Author:

Fallahgoul Hasan A,Nam Kihun

Publisher

Elsevier BV

Reference36 articles.

1. Time-changed L�vy processes and option pricing;P Carr;Journal of Financial Economics,2004

2. Risk Premia and L�vy Jumps: Theory and Evidence;H Fallahgoul;Swiss Finance Institute Research Paper,2019

3. Specification analysis of option pricing models based on time-changed L�vy processes;J Z Huang;Journal of Finance,2005

4. The leverage effect puzzle: Disentangling sources of bias at high frequency;Y Ait-Sahalia;Journal of Financial Economics,2013

5. Empirical performance of alternative option pricing models;G Bakshi;Journal of Finance,1997

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