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1. An Efficient Algorithm for Options Under Merton’s Jump-Diffusion Model on Nonuniform Grids. (2019). Chen, Yingzi ; Wang, Wansheng ; Xiao, Aiguo.
   In: Computational Economics.
   RePEc:kap:compec:v:53:y:2019:i:4:d:10.1007_s10614-018-9823-8.

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2. A jump-diffusion model for pricing and hedging with margined options: An application to Brent crude oil contracts. (2019). Hilliard, Jitka.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:98:y:2019:i:c:p:137-155.

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3. FOURTH-ORDER COMPACT SCHEME FOR OPTION PRICING UNDER THE MERTON’S AND KOU’S JUMP-DIFFUSION MODELS. (2018). Mehra, Mani ; Patel, Kuldip Singh.
   In: International Journal of Theoretical and Applied Finance (IJTAF).
   RePEc:wsi:ijtafx:v:21:y:2018:i:04:n:s0219024918500279.

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4. Modeling and implementation of local volatility surfaces in Bayesian framework. (2018). Yolcu-Okur, Yeliz ; Uur, Omur ; Animoku, Abdulwahab.
   In: Computational Management Science.
   RePEc:spr:comgts:v:15:y:2018:i:2:d:10.1007_s10287-018-0302-4.

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5. Income uncertainty and the decision to invest in bulk shipping. (2018). Pouliasis, Panos ; Papapostolou, Nikos ; Nomikos, Nikos K ; Kyriakou, Ioannis.
   In: European Financial Management.
   RePEc:bla:eufman:v:24:y:2018:i:3:p:387-417.

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6. A Splitting Strategy for the Calibration of Jump-Diffusion Models. (2018). Albani, Vinicius ; Zubelli, Jorge.
   In: Papers.
   RePEc:arx:papers:1811.02028.

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7. Compact finite difference method for pricing European and American options under jump-diffusion models. (2018). Mehra, Mani ; Patel, Kuldip Singh.
   In: Papers.
   RePEc:arx:papers:1804.09043.

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8. Fourth order compact scheme for option pricing under Merton and Kou jump-diffusion models. (2018). Mehra, Mani ; Patel, Kuldip Singh.
   In: Papers.
   RePEc:arx:papers:1804.07534.

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9. Pricing currency options in the Heston/CIR double exponential jump-diffusion model. (2017). Ahlip, Rehez ; Prodan, Ante.
   In: International Journal of Financial Engineering (IJFE).
   RePEc:wsi:ijfexx:v:04:y:2017:i:01:n:s242478631750013x.

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10. The pricing of average options with jump diffusion processes in the uncertain volatility model. (2017). Fan, Yulian ; Zhang, Huadong.
    In: International Journal of Financial Engineering (IJFE).
    RePEc:wsi:ijfexx:v:04:y:2017:i:01:n:s2424786317500050.

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11. Performance of Tail Hedged Portfolio with Third Moment Variation Swap. (2017). Lee, Kyungsub ; Ki, Byoung.
    In: Computational Economics.
    RePEc:kap:compec:v:50:y:2017:i:3:d:10.1007_s10614-016-9593-0.

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12. A Numerical Method to Approximate Multi-Asset Option Pricing Under Exponential Lévy Model. (2017). Ranjbar, Mojtaba ; Khodayari, Leila .
    In: Computational Economics.
    RePEc:kap:compec:v:50:y:2017:i:2:d:10.1007_s10614-016-9605-0.

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13. A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing. (2017). Chen, Wen ; Wang, Song.
    In: Applied Mathematics and Computation.
    RePEc:eee:apmaco:v:305:y:2017:i:c:p:174-187.

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14. Uncertain Volatility Models with Stochastic Bounds. (2017). Ning, Ning ; Fouque, Jean-Pierre.
    In: Papers.
    RePEc:arx:papers:1702.05036.

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15. Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps. (2017). Itkin, Andrey.
    In: Papers.
    RePEc:arx:papers:1701.02821.

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16. American-style options in jump-diffusion models: estimation and evaluation. (2016). Cherif, Rim ; Ben-Ameur, Hatem ; Remillard, Bruno.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:16:y:2016:i:8:p:1313-1324.

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17. Adaptive Radial Basis Function Methods for Pricing Options Under Jump-Diffusion Models. (2016). Lung, Ron Tat .
    In: Computational Economics.
    RePEc:kap:compec:v:47:y:2016:i:4:d:10.1007_s10614-016-9563-6.

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18. Option pricing in jump diffusion models with quadratic spline collocation. (2016). Leung, Nat Chun-Ho ; Christara, Christina C.
    In: Applied Mathematics and Computation.
    RePEc:eee:apmaco:v:279:y:2016:i:c:p:28-42.

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19. An approximation of small-time probability density functions in a general jump diffusion model. (2016). Schmidt, Wolfgang M ; Zhang, LE.
    In: Applied Mathematics and Computation.
    RePEc:eee:apmaco:v:273:y:2016:i:c:p:741-758.

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20. Numerical analysis of an extended structural default model with mutual liabilities and jump risk. (2016). Kaushansky, Vadim ; Reisinger, Christoph ; Lipton, Alexander.
    In: Papers.
    RePEc:arx:papers:1701.00030.

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21. The valuation and information content of options on crude-oil futures contracts. (2015). Murphy, Finbarr ; Ronn, Ehud.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:18:y:2015:i:2:p:95-106.

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22. Pricing Two-asset Options under Exponential L\evy Model Using a Finite Element Method. (2015). Li, Xun ; Tai, Xue-Cheng ; Lin, Ping ; Zhou, Jinghui.
    In: Papers.
    RePEc:arx:papers:1511.04950.

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23. Application of Operator Splitting Methods in Finance. (2015). Karel in 't Hout, ; Toivanen, Jari.
    In: Papers.
    RePEc:arx:papers:1504.01022.

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24. Accounting for Earnings Announcements in the Pricing of Equity Options. (2015). Leung, Tim ; Santoli, Marco.
    In: Papers.
    RePEc:arx:papers:1412.8414.

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25. A calibration procedure for analyzing stock price dynamics in an agent-based framework. (2014). Tedeschi, Gabriele ; Recchioni, Maria ; Gallegati, Mauro.
    In: FinMaP-Working Papers.
    RePEc:zbw:fmpwps:26.

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26. Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme. (2014). Hubbert, Simon ; Chan, Ron.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:17:y:2014:i:2:p:161-189.

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27. 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.
    In: Papers.
    RePEc:arx:papers:1412.6064.

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28. High-Order Splitting Methods for Forward PDEs and PIDEs. (2014). Itkin, Andrey.
    In: Papers.
    RePEc:arx:papers:1403.1804.

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29. Optimal Exercise for Derivative Securities. (2014). Detemple, Jerome.
    In: Annual Review of Financial Economics.
    RePEc:anr:refeco:v:6:y:2014:p:459-487.

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30. Pricing and hedging in the VIX derivative market. (2013). Kozarski, R..
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:221fefe0-241e-4914-b6bd-c20f50ead2d2.

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31. Freight options: Price modelling and empirical analysis. (2013). Pouliasis, Panos ; Papapostolou, Nikos ; Nomikos, Nikos K. ; Kyriakou, Ioannis.
    In: Transportation Research Part E: Logistics and Transportation Review.
    RePEc:eee:transe:v:51:y:2013:i:c:p:82-94.

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32. Asymptotics for Exponential Levy Processes and their Volatility Smile: Survey and New Results. (2012). Andersen, Leif ; Lipton, Alexander.
    In: Papers.
    RePEc:arx:papers:1206.6787.

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33. Adaptive Continuous time Markov Chain Approximation Model to General Jump-Diusions. (2011). Cerrato, Mario ; Skindilias, Konstantinos ; Lo, Chia Chun.
    In: SIRE Discussion Papers.
    RePEc:edn:sirdps:286.

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34. Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method. (2010). Zheng, Harry ; Xu, Guoping.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:47:y:2010:i:3:p:415-422.

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35. Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions. (2009). Bayraktar, Erhan ; Xing, Hao.
    In: Mathematical Methods of Operations Research.
    RePEc:spr:mathme:v:70:y:2009:i:3:p:505-525.

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36. Dynamic Hedging Under Jump Diffusion with Transaction Costs. (2009). Forsyth, P A ; Vetzal, K R ; Kennedy, J S.
    In: Operations Research.
    RePEc:inm:oropre:v:57:y:2009:i:3:p:541-559.

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37. Pricing Options in Jump-Diffusion Models: An Extrapolation Approach. (2008). Linetsky, Vadim ; Feng, Liming.
    In: Operations Research.
    RePEc:inm:oropre:v:56:y:2008:i:2:p:304-325.

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38. The effect of modelling parameters on the value of GMWB guarantees. (2008). Chen, Z. ; FORSYTH, P. A. ; Vetzal, K..
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:43:y:2008:i:1:p:165-173.

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39. Numerical Solution of Stochastic Differential Equations with Jumps in Finance. (2007). Bruti-Liberati, Nicola.
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    RePEc:uts:finphd:1.

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40. American Call Options on Jump-Diffusion Processes: A Fourier Transform Approach. (2006). Ziogas, Andrew.
    In: Research Paper Series.
    RePEc:uts:rpaper:174.

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41. Numerical Methods and Volatility Models for Valuing Cliquet Options. (2006). FORSYTH, P. A. ; Vetzal, K. R. ; Windcliff, H. A..
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:13:y:2006:i:4:p:353-386.

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42. Calibration and hedging under jump diffusion. (2006). Coleman, T. ; Forsyth, P. ; Vetzal, K. ; Kennedy, J. ; He, C. ; Li, Y..
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:9:y:2006:i:1:p:1-35.

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43. Pricing methods and hedging strategies for volatility derivatives. (2006). FORSYTH, P. A. ; Vetzal, K. R. ; Windcliff, H..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:30:y:2006:i:2:p:409-431.

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44. Implied Calibration of Stochastic Volatility Jump Diffusion Models. (2005). Galluccio, Stefano ; le Cam, Yann.
    In: Finance.
    RePEc:wpa:wuwpfi:0510028.

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45. Assessing Credit with Equity: A CEV Model with Jump to Default. (2005). Polbennikov, Simon ; Campi, Luciano.
    In: Working Papers.
    RePEc:ver:wpaper:24/2005.

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46. Close-Form Pricing of Benchmark Equity Default Swaps Under the CEV Assumption. (2005). Campi, L. ; Sbuelz, A..
    In: Discussion Paper.
    RePEc:tiu:tiucen:f10edfa3-d4c3-489b-bffe-46ff4d7349a1.

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47. Assessing Credit with Equity : A CEV Model with Jump to Default. (2005). Polbennikov, S. Y. ; Campi, L. ; Sbuelz, A..
    In: Discussion Paper.
    RePEc:tiu:tiucen:21b78fcf-8401-4e4d-8224-7dab1cda270c.

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48. Numeraire-invariant option pricing and american, bermudan, trigger stream rollover (v1.6). (2004). Jamshidian, Farshid.
    In: Finance.
    RePEc:wpa:wuwpfi:0407015.

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49. Hedging with Stochastic and Local Volatility. (2004). Alexander, Carol ; Nogueira, Leonardo M..
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2004-10.

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50. ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications. (2004). Detemple, Jerome ; Broadie, Mark.
    In: Management Science.
    RePEc:inm:ormnsc:v:50:y:2004:i:9:p:1145-1177.

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