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2. A direct formulation of implied volatility in the Black-Scholes model. (2010). Jacquinot, Philippe ; Sukhomlin, Nikolay .
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3. A direct formulation of implied volatility in the Black- Scholes model. (2010). Sukhomlin, Nikolay ; Jacquinot, Philippe.
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1. Third-Order Short-Time Expansions for Close-to-the-Money Option Prices under the CGMY Model. (2017). Gong, Ruoting ; Jos'e E. Figueroa-L'opez, ; Christian Houdr'e, .
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2. Time series analysis for financial market meltdowns. (2010). Fabozzi, Frank ; Mitov, Ivan ; Kim, Youngshin ; Rachev, Svetlozar T. ; Bianchi, Michele Leonardo.
   In: Working Paper Series in Economics.
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3. Models for Heavy-tailed Asset Returns. (2010). Weron, Rafał ; Misiorek, Adam ; Borak, Szymon .
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4. Equilibrium preference free pricing of derivatives under the generalized beta distributions. (2010). Ikeda, Masayuki.
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5. Tracking errors from discrete hedging in exponential L\evy models. (2010). TANKOV, PETER ; Mats Brod'en, .
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6. How Duration Between Trades of Underlying Securities Affects Option Prices. (2009). Cartea, Álvaro ; Meyer-Brandis, Thilo.
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7. U.S. Stock Market Crash Risk, 1926-2006. (2009). Bates, David S..
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8. Analysis of Fourier transform valuation formulas and applications. (2009). Glau, Kathrin ; Eberlein, Ernst ; Papapantoleon, Antonis.
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9. Hedging for the Long Run. (2008). Platen, Eckhard ; Hulley, Hardy.
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10. American and European options in multi-factor jump-diffusion models, near expiry. (2008). Levendorskii, Sergei.
    In: Finance and Stochastics.
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11. Existence of Lévy term structure models. (2008). Tappe, Stefan ; Filipovi, Damir.
    In: Finance and Stochastics.
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12. Pricing Early-Exercise and Discrete Barrier Options by Fourier-Cosine Series Expansions. (2008). Oosterlee, Cornelis ; Fang, Fang.
    In: MPRA Paper.
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13. Price Deviations of S&P 500 Index Options from the Black-Scholes Formula Follow a Simple Pattern. (2008). Li, Minqiang.
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14. Identifying the covariation between the diffusion parts and the co-jumps given discrete observations. (2008). Gobbi, Fabio ; Mancini, Cecilia.
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15. An introduction to L\{e}vy processes with applications in finance. (2008). Papapantoleon, Antonis.
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16. No-Free-Lunch equivalences for exponential Levy models. (2008). Kardaras, Constantinos.
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17. The relative entropy in CGMY processes and its applications to finance. (2007). Kim, Young ; Lee, Jeong.
    In: Mathematical Methods of Operations Research.
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18. Heavy tails and electricity prices: Do time series models with non-Gaussian noise forecast better than their Gaussian counterparts?. (2007). Weron, Rafał ; Misiorek, Adam.
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19. Correlation and the pricing of risks. (2007). .
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20. Generalized Normal Mean Variance Mixture and Subordinated Brownian Motion. (2007). Semeraro, Patrizia ; luciano, elisa.
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21. Extending Time-Changed Lévy Asset Models Through Multivariate Subordinators. (2007). Semeraro, Patrizia ; luciano, elisa.
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22. How Does Duration Between Trades of Underlying Securities Affect Option Prices. (2007). Cartea, Álvaro ; Meyer-Brandis, Thilo.
    In: Birkbeck Working Papers in Economics and Finance.
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23. Pricing Equity Default Swaps under an approximation to the CGMY L\{e}% vy Model. (2007). Asmussen, Soeren ; Pistorius, Martijn ; Madan, Dilip.
    In: Papers.
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24. Equilibrium asset pricing: with non-Gaussian factors and exponential utilities. (2006). Madan, Dilip B..
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25. Symmetry and duality in Levy markets. (2006). Fajardo, José ; Mordecki, Ernesto.
    In: Quantitative Finance.
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26. Option Pricing for Pure Jump Processes with Markov Switching Compensators. (2006). Elliott, Robert ; Osakwe, Carlton-James.
    In: Finance and Stochastics.
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27. Multifrequency Jump-Diffusions: An Equilibrium Approach. (2006). Fisher, Adlai ; Calvet, Laurent.
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28. Spectral calibration of exponential Lévy Models [1]. (2006). Reiss, Markus ; Belomestny, Denis.
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29. Estimation of stable distributions by indirect inference. (2006). Veredas, David ; Renault, Eric ; Garcia, René.
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30. Fractional Diffusion Models of Option Prices in Markets with Jumps. (2006). Cartea, Álvaro ; Diego del-Castillo-Negrete, .
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31. Real options and the Jorgensonian user cost of capital. (2005). Gutierrez, Oscar.
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32. Duality and Derivative Pricing with Time-Changed Lévy Processes. (2005). Fajardo, José ; Mordecki, Ernesto.
    In: IBMEC RJ Economics Discussion Papers.
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33. Duality and Derivative Pricing with Lévy Processes. (2005). Fajardo, José ; Mordecki, Ernesto.
    In: IBMEC RJ Economics Discussion Papers.
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34. Volatility of the Stochastic Discount Factor, and the Distinction between Risk-Neutral and Objective Probability Measures. (2005). Hjalmarsson, Erik ; Chen, Zhiwu ; Bakshi, Gurdip.
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35. Dynamic Hedging of Financial Instruments When the Underlying Follows a Non-Gaussian Process. (2005). Cartea, Álvaro.
    In: Birkbeck Working Papers in Economics and Finance.
    RePEc:bbk:bbkefp:0508.

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36. Stochastic Skew in Currency Options. (2004). Wu, Liuren ; Carr, Peter.
    In: Finance.
    RePEc:wpa:wuwpfi:0409014.

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37. Numeraire-invariant option pricing and american, bermudan, trigger stream rollover (v1.6). (2004). Jamshidian, Farshid.
    In: Finance.
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38. American options: the EPV pricing model. (2004). Boyarchenko, Svetlana ; Levendorskii, Sergei.
    In: Finance.
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39. Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes. (2004). Wu, Liuren ; Huang, Jingzhi.
    In: Finance.
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40. Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns. (2004). Wu, Liuren.
    In: Finance.
    RePEc:wpa:wuwpfi:0401001.

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41. Option Pricing Under the Variance Gamma Process. (2004). Fiorani, Filo.
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42. Duality and Derivative Pricing with Lévy Processes. (2004). Fajardo, José ; Mordeckiz, E..
    In: Finance Lab Working Papers.
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43. Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes. (2004). Wu, Liuren ; Huang, Jingzhi.
    In: Econometric Society 2004 North American Winter Meetings.
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44. Pricing Derivatives on Two Lé}vy-driven Stocks. (2004). Fajardo, José ; Mordecki, Ernesto.
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45. Universal bad news principle and pricing of options on dividend-paying assets. (2004). Boyarchenko, Svetlana ; Levendorskii, Sergei.
    In: Papers.
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46. Pseudo-diffusions and Quadratic term structure models. (2004). Levendorskii, Sergei.
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47. Disentangling Volatility from Jumps. (2003). Ait-Sahalia, Yacine.
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48. Put-Call Duality and Symmetry. (2003). Fajardo, José ; Mordecki, Ernesto.
    In: Finance Lab Working Papers.
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49. Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?. (2002). Wu, Liuren ; Heidari, Massoud.
    In: Finance.
    RePEc:wpa:wuwpfi:0207013.

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50. Time-Changed Levy Processes and Option Pricing. (2002). Wu, Liuren ; Carr, Peter.
    In: Finance.
    RePEc:wpa:wuwpfi:0207011.

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