| 1 |
Amin, K., "Jump-diffusion Option Valuation in Discrete Time," Journal of Finance 48 (1993), 1833-1863.
DOI
ScienceOn
|
| 2 |
Barndorff-Nielsen, O. E., "Normal Inverse Gaussian Distribution and Stochastic Volatility Modelling," Scandinavian Journal of Statistics 24 (1997), 1-13.
DOI
ScienceOn
|
| 3 |
Black, F. and M. Scholes, "The Pricing of Options and Corporate Liabilities," Journal of Political Economy 81 (1973), 637-659.
DOI
ScienceOn
|
| 4 |
Carr, P., H. Geman, D. B. Madan, and M. Yor, "Stochastic Volatility for Levy Processes," Mathematical Finance 13 (2003), 345-382.
DOI
ScienceOn
|
| 5 |
Carr, P. and D. B. Madan, "Option Valuation using the fast Fourier Transform," Journal of Computational Finance 2 (1999), 61-73.
DOI
|
| 6 |
Cont, R. and E. Voltchkova, "Integro-Differential Equations for Option Prices in Exponential Levy Models," Finance Stochastics 9 (2005), 299-325.
DOI
|
| 7 |
Cox, J. C., S. A. Ross, and M. Rubinstein, "Option Pricing: A Simplified Approach," Journal of Financial Economics 3 (1979), 125-144.
|
| 8 |
Duan, J. C. and J.-G. Simonato, "American Option Pricing under GARCH by a Markov Chain Approximation," Journal of Economic Dynamics and Control 25 (2001), 1689-1718.
DOI
ScienceOn
|
| 9 |
Eberlein, E., U. Keller, and K. Prause, "New Insights into Smile, Mispricing and Value at Risk," Journal of Business 71 (1998), 371-406.
DOI
ScienceOn
|
| 10 |
Fu, M. C., S. B. Laprise, D. B. Madan, Y. SU, and R. WU, "Pricing American Options: A Comparison of Monte Carlo Simulation Approaches," Journal of Computational Finance 2 (2001), 62-73.
|
| 11 |
Geman, H., D. B. Madan, and M. Yor, "Time Changes for Levy Processes," Mathematical Finance 11 (2001), 79-96.
DOI
ScienceOn
|
| 12 |
Glasserman, P., Monte Carlo Methods in Financial Engineering, Springer, New York, 2003.
|
| 13 |
Han, G. S., "Valuation of American Option Prices Under the Double Exponential Jump Diffusion Model with a Markov Chain Approximation," Journal of the Korean Institute of Industrial Engineer 38 (2012), 249-253.
과학기술학회마을
DOI
ScienceOn
|
| 14 |
Madan, D. B. and E. Seneta, "The Variance Gamma (VG) Model for Share Market Returns," Journal of Business 63 (1990), 511-524.
DOI
ScienceOn
|
| 15 |
Hirsa, A. and D. B. Madan, "Pricing American Options under Variance Gamma," Journal of Computational Finance 7 (2004), 63-80.
|
| 16 |
Kellezi, E. and N. Webber, "Valuing Bermudan Options When Asset Returns Are Levy Processes," Quantitative Finance 4 (2004), 87-100.
DOI
ScienceOn
|
| 17 |
Kou, S. G., "A Jump-diffusion Model for Option Pricing," Management Science 48 (2002), 1086-1101.
DOI
ScienceOn
|
| 18 |
Madan, D. B. and F. Milne, "Option Pricing with VG Martingale Components," Mathematical Finance 1 (1991), 39-56.
DOI
|
| 19 |
Madan, D. B., P. Carr, and E. Chang, "The Variance Gamma Process and Option Pricing," European Finance Review 2 (1998), 79-105.
DOI
ScienceOn
|
| 20 |
Maller, R., D. H. Solomon, and A. Szimayer, "A Multinomial Approximation for American Option Prices in Levy Process Models," Mathematical Finance 16 (2006), 613-633.
DOI
ScienceOn
|
| 21 |
Matache, A.-M., P. A. Nitsche, and C. Schwab, "Wavelet Galerkin Pricing of American Options on Levy Driven Assets," Quantitative Finance 5 (2005), 403-424.
DOI
ScienceOn
|
| 22 |
Merton, R. C., "Option Pricing When the Underlying Process for Stock Returns is Discontinuous," Journal of Financial Economics 3 (1976), 124-144.
|
| 23 |
Mulinacci, S., "An Approximation of American Option Prices in a Jump-Diffusion Model," Stochastic Processes Application 62 (1996), 1-17.
DOI
ScienceOn
|
| 24 |
Simonato, J.-G., "Computing American Option Prices in the Lognormal Jump-diffusion Framework with a Markov Chain," Finance Research Letters 8 (2011), 220-226.
DOI
ScienceOn
|
webmaster
