most citedCalibration and Option Pricing with Stochastic Volatility and Double Exponential Jumps

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q-fin.CP2025

Fast and explicit European option pricing under tempered stable processes

Gaetano Agazzotti, Jean-Philippe Aguilar

We provide series expansions for the tempered stable densities and for the price of European-style contracts in the exponential Lévy model driven by the tempered stable process. Th…