most citedOption pricing in time-changed Lévy models with compound Poisson jumps

3 citations · 3 across the 1 of their papers we have counts for

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1 paper

math.PR2020★ 3 cited

Option pricing in time-changed Lévy models with compound Poisson jumps

Roman V. Ivanov, Katsunori Ano

The problem of European-style option pricing in time-changed Lévy models in the presence of compound Poisson jumps is considered. These jumps relate to sudden large drops in stock…