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2. A Discussion of Non‐Gaussian Price Processes for Energy and Commodity Operations. (2021). Secomandi, Nicola ; Gambaro, Anna Maria.
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6. American-style options in jump-diffusion models: estimation and evaluation. (2016). Cherif, Rim ; Ben-Ameur, Hatem ; Remillard, Bruno.
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7. Adaptive Radial Basis Function Methods for Pricing Options Under Jump-Diffusion Models. (2016). Lung, Ron Tat .
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8. A Flexible Galerkin Scheme for Option Pricing in L\evy Models. (2016). Gass, Maximilian ; Glau, Kathrin.
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1. Option Pricing for the Variance Gamma Model: A New Perspective. (2023). Cheng, Zailei ; Wang, Haixu.
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2. Dynamic programming for valuing American options under a variance‐gamma process. (2020). Cherif, Rim ; ben Ameur, Hatem ; Remillard, Bruno.
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   RePEc:wly:jfutmk:v:40:y:2020:i:10:p:1548-1561.

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3. An Efficient Algorithm for Options Under Merton’s Jump-Diffusion Model on Nonuniform Grids. (2019). Chen, Yingzi ; Wang, Wansheng ; Xiao, Aiguo.
   In: Computational Economics.
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4. A jump-diffusion model for pricing and hedging with margined options: An application to Brent crude oil contracts. (2019). Hilliard, Jitka.
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5. A fast method for pricing American options under the variance gamma model. (2019). Fu, Weilong ; Hirsa, Ali.
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6. FOURTH-ORDER COMPACT SCHEME FOR OPTION PRICING UNDER THE MERTON’S AND KOU’S JUMP-DIFFUSION MODELS. (2018). Mehra, Mani ; Patel, Kuldip Singh.
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7. OPTION PRICING IN THE VARIANCE-GAMMA MODEL UNDER THE DRIFT JUMP. (2018). Ivanov, Roman V.
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8. Modeling and implementation of local volatility surfaces in Bayesian framework. (2018). Yolcu-Okur, Yeliz ; Uur, Omur ; Animoku, Abdulwahab.
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9. A Credit-Risk Valuation under the Variance-Gamma Asset Return. (2018). Ivanov, Roman V.
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10. Convertible bond pricing with partial integro-differential equation model. (2018). Yang, Xiaofeng ; Fan, Wenjing ; Xu, Mengna ; Yu, Jinping.
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11. On risk measuring in the variance-gamma model. (2018). Roman, Ivanov.
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12. Income uncertainty and the decision to invest in bulk shipping. (2018). Pouliasis, Panos ; Papapostolou, Nikos ; Nomikos, Nikos K ; Kyriakou, Ioannis.
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13. A Splitting Strategy for the Calibration of Jump-Diffusion Models. (2018). Albani, Vinicius ; Zubelli, Jorge.
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14. Compact finite difference method for pricing European and American options under jump-diffusion models. (2018). Mehra, Mani ; Patel, Kuldip Singh.
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15. Fourth order compact scheme for option pricing under Merton and Kou jump-diffusion models. (2018). Mehra, Mani ; Patel, Kuldip Singh.
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16. Multinomial method for option pricing under Variance Gamma. (2018). Cantarutti, Nicola ; Guerra, Joao.
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17. Pricing currency options in the Heston/CIR double exponential jump-diffusion model. (2017). Ahlip, Rehez ; Prodan, Ante.
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18. The pricing of average options with jump diffusion processes in the uncertain volatility model. (2017). Fan, Yulian ; Zhang, Huadong.
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21. A note on the Estimation of a Gamma-Variance Process: Learning from a Failure. (2017). Tucci, Marco P ; Cervellera, Gian P.
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22. A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing. (2017). Chen, Wen ; Wang, Song.
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23. Uncertain Volatility Models with Stochastic Bounds. (2017). Ning, Ning ; Fouque, Jean-Pierre.
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24. Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps. (2017). Itkin, Andrey.
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25. American-style options in jump-diffusion models: estimation and evaluation. (2016). Cherif, Rim ; Ben-Ameur, Hatem ; Remillard, Bruno.
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26. On exact pricing of FX options in multivariate time-changed Lévy models. (2016). Ivanov, Roman V.
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27. Adaptive Radial Basis Function Methods for Pricing Options Under Jump-Diffusion Models. (2016). Lung, Ron Tat .
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28. Option pricing in jump diffusion models with quadratic spline collocation. (2016). Leung, Nat Chun-Ho ; Christara, Christina C.
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31. The valuation and information content of options on crude-oil futures contracts. (2015). Murphy, Finbarr ; Ronn, Ehud.
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33. Pricing Two-asset Options under Exponential L\evy Model Using a Finite Element Method. (2015). Li, Xun ; Tai, Xue-Cheng ; Lin, Ping ; Zhou, Jinghui.
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34. Application of Operator Splitting Methods in Finance. (2015). Karel in 't Hout, ; Toivanen, Jari.
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35. Accounting for Earnings Announcements in the Pricing of Equity Options. (2015). Leung, Tim ; Santoli, Marco.
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36. A calibration procedure for analyzing stock price dynamics in an agent-based framework. (2014). Tedeschi, Gabriele ; Recchioni, Maria ; Gallegati, Mauro.
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37. A note on the estimation of a Gamma-Variance process: Learning from a failure. (2014). Tucci, Marco P. ; Cervellera, Gian P..
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38. Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme. (2014). Hubbert, Simon ; Chan, Ron.
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39. Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method. (2014). Parand, Kourosh ; Rad, Jamal Amani.
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40. High-Order Splitting Methods for Forward PDEs and PIDEs. (2014). Itkin, Andrey.
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41. Optimal Exercise for Derivative Securities. (2014). Detemple, Jerome.
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42. Pricing and hedging in the VIX derivative market. (2013). Kozarski, R..
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43. Freight options: Price modelling and empirical analysis. (2013). Pouliasis, Panos ; Papapostolou, Nikos ; Nomikos, Nikos K. ; Kyriakou, Ioannis.
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44. Asymptotics for Exponential Levy Processes and their Volatility Smile: Survey and New Results. (2012). Andersen, Leif ; Lipton, Alexander.
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45. Adaptive Continuous time Markov Chain Approximation Model to General Jump-Diusions. (2011). Cerrato, Mario ; Skindilias, Konstantinos ; Lo, Chia Chun.
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46. On the foundations of Lévy finance. Equilibrium for a single-agent financial market with jumps. (2011). Herzberg, Frederik.
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47. Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method. (2010). Zheng, Harry ; Xu, Guoping.
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48. Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions. (2009). Bayraktar, Erhan ; Xing, Hao.
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49. Numerical methods for Lévy processes. (2009). Reich, N. ; Hilber, N. ; Winter, C. ; Schwab, C..
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50. Dynamic Hedging Under Jump Diffusion with Transaction Costs. (2009). Forsyth, P A ; Vetzal, K R ; Kennedy, J S.
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51. Pricing Early-Exercise and Discrete Barrier Options by Fourier-Cosine Series Expansions. (2008). Oosterlee, Cornelis ; Fang, Fang.
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52. Pricing Options in Jump-Diffusion Models: An Extrapolation Approach. (2008). Linetsky, Vadim ; Feng, Liming.
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53. The effect of modelling parameters on the value of GMWB guarantees. (2008). Chen, Z. ; FORSYTH, P. A. ; Vetzal, K..
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54. Numerical Solution of Stochastic Differential Equations with Jumps in Finance. (2007). Bruti-Liberati, Nicola.
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55. A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes. (2007). Oosterlee, Cornelis ; Lord, Roger ; Fang, Fang ; Bervoets, Frank.
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56. American Call Options on Jump-Diffusion Processes: A Fourier Transform Approach. (2006). Ziogas, Andrew.
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57. Numerical Methods and Volatility Models for Valuing Cliquet Options. (2006). FORSYTH, P. A. ; Vetzal, K. R. ; Windcliff, H. A..
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58. Calibration and hedging under jump diffusion. (2006). Coleman, T. ; Forsyth, P. ; Vetzal, K. ; Kennedy, J. ; He, C. ; Li, Y..
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59. Pricing methods and hedging strategies for volatility derivatives. (2006). FORSYTH, P. A. ; Vetzal, K. R. ; Windcliff, H..
    In: Journal of Banking & Finance.
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60. Implied Calibration of Stochastic Volatility Jump Diffusion Models. (2005). Galluccio, Stefano ; le Cam, Yann.
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61. Assessing Credit with Equity: A CEV Model with Jump to Default. (2005). Polbennikov, Simon ; Campi, Luciano.
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62. Close-Form Pricing of Benchmark Equity Default Swaps Under the CEV Assumption. (2005). Campi, L. ; Sbuelz, A..
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63. Assessing Credit with Equity : A CEV Model with Jump to Default. (2005). Polbennikov, S. Y. ; Campi, L. ; Sbuelz, A..
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64. Some remarks on first passage of Levy processes, the American put and pasting principles. (2005). Alili, L. ; Kyprianou, A. E..
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65. Numeraire-invariant option pricing and american, bermudan, trigger stream rollover (v1.6). (2004). Jamshidian, Farshid.
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66. Hedging with Stochastic and Local Volatility. (2004). Alexander, Carol ; Nogueira, Leonardo M..
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67. ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications. (2004). Detemple, Jerome ; Broadie, Mark.
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