Author:
Almendral Ariel,Oosterlee Cornelis W.
Subject
Applied Mathematics,Computational Mathematics,Numerical Analysis
Reference32 articles.
1. Jump-diffusion processes: Volatility smile fitting and numerical methods for option pricing;Andersen;Rev. Derivatives Res.,2000
2. Processes of normal inverse Gaussian type;Barndorff;Finance Stochast.,1998
3. Lévy Processes;Bertoin,1996
4. The pricing of options and corporate liabilities;Black;J. Political Economy,1973
5. Non-Gaussian Merton–Black–Scholes Theory;Boyarchenko,2002
Cited by
120 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