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20142021
most citedShort-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility

6 citations · 9 across the 3 of their papers we have counts for

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math.PR2016

Change-point detection for Lévy processes

José E. Figueroa-López, Sveinn Ólafsson

Since the work of Page in the 1950s, the problem of detecting an abrupt change in the distribution of stochastic processes has received a great deal of attention. In particular, a…