SMEAL WIKI

Specification Analysis of Option Pricing Models Based on Time‐Changed Lévy Processes

Jing-Zhi Jay Huang, Liuren Wu
Year2004
VenueThe Journal of Finance
Typearticle
Citations321
DOI10.1111/j.1540-6261.2004.00667.x
OpenAlexW3122670268

Topics

Stochastic processes and financial applicationsStochastic volatilityJump diffusionLévy processJumpVolatility (finance)