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1. Computation of Greeks using binomial trees in a jump-diffusion model. (2015). Muroi, Yoshifumi ; Suda, Shintaro.
   In: Journal of Economic Dynamics and Control.
   RePEc:eee:dyncon:v:51:y:2015:i:c:p:93-110.

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2. Valuation of stock loans with jump risk. (2014). Cai, Ning ; Sun, Lihua.
   In: Journal of Economic Dynamics and Control.
   RePEc:eee:dyncon:v:40:y:2014:i:c:p:213-241.

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3. From Black-Scholes to Online Learning: Dynamic Hedging under Adversarial Environments. (2014). Liu, Zhenming ; Lam, Henry.
   In: Papers.
   RePEc:arx:papers:1406.6084.

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4. Mental Accounting: A Closed-Form Alternative to the Black Scholes Model. (2013). Siddiqi, Hammad.
   In: MPRA Paper.
   RePEc:pra:mprapa:50759.

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5. Analogy Making, Option Prices, and Implied Volatility. (2013). Siddiqi, Hammad.
   In: MPRA Paper.
   RePEc:pra:mprapa:48862.

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6. A lattice model for option pricing under GARCH-jump processes. (2013). Wu, Ping-Da ; Hung, Mao-Wei ; Wang, Jr-Yan ; Lin, Bing-Huei.
   In: Review of Derivatives Research.
   RePEc:kap:revdev:v:16:y:2013:i:3:p:295-329.

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7. Valuing catastrophe derivatives under limited diversification: A stochastic dominance approach. (2013). Perrakis, Stylianos ; Boloorforoosh, Ali.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:37:y:2013:i:8:p:3157-3168.

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8. Pricing discrete path-dependent options under a double exponential jump–diffusion model. (2013). Luo, Sheng-Feng ; Yen, Ju-Fang ; Fuh, Cheng-Der.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:37:y:2013:i:8:p:2702-2713.

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9. Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models. (2012). Itkin, Andrey ; Carr, Peter.
   In: Computational Economics.
   RePEc:kap:compec:v:40:y:2012:i:1:p:63-104.

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10. Estimation and pricing under long-memory stochastic volatility. (2012). Viens, Frederi ; Chronopoulou, Alexandra.
    In: Annals of Finance.
    RePEc:kap:annfin:v:8:y:2012:i:2:p:379-403.

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11. Pricing American interest rate options under the jump-extended constant-elasticity-of-variance short rate models. (2012). Nawalkha, Sanjay ; Beliaeva, Natalia.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:1:p:151-163.

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12. A jump-diffusion approach to modelling vulnerable option pricing. (2012). Li, Hongyi ; Xiao, Weilin ; Xu, Weijun.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:9:y:2012:i:1:p:48-56.

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13. Thinking by analogy, systematic risk, and option prices. (2011). Siddiqi, Hammad.
    In: MPRA Paper.
    RePEc:pra:mprapa:31316.

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14. Computing American option prices in the lognormal jump–diffusion framework with a Markov chain. (2011). Simonato, Jean-Guy.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:8:y:2011:i:4:p:220-226.

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15. Efectos del tipo de cambio sobre el déficit público: modelos de simulación Monte Carlo. (2010). Venegas-Martínez, Francisco ; Rodríguez Nava, Abigail.
    In: Contaduría y Administración.
    RePEc:nax:conyad:v:55:y:2010:i:3:p:11-40.

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16. 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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17. Numerical methods for Lévy processes. (2009). Reich, N. ; Hilber, N. ; Winter, C. ; Schwab, C..
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:13:y:2009:i:4:p:471-500.

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18. The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines. (2008). Kang, Boda ; Meyer, Gunter H. ; Ziogas, Andrew.
    In: Research Paper Series.
    RePEc:uts:rpaper:219.

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19. Detections of changes in return by a wavelet smoother with conditional heteroscedastic volatility. (2008). Choi, Yoon K. ; Zhou, Yong ; Chen, Gongmeng.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:143:y:2008:i:2:p:227-262.

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20. Option Pricing: Real and Risk-Neutral Distributions. (2007). Perrakis, Stylianos ; Jackwerth, Jens ; Constantinides, George.
    In: MPRA Paper.
    RePEc:pra:mprapa:11637.

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21. 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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22. A simple approach for pricing equity options with Markov switching state variables. (2006). Das, Sanjiv ; Motwani, Rajeev ; Aingworth, Donald D..
    In: Quantitative Finance.
    RePEc:taf:quantf:v:6:y:2006:i:2:p:95-105.

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23. A class of nonlinear stochastic volatility models and its implications for pricing currency options. (2006). Zhang, Xibin ; Yu, Jun ; Yang, Zhenlin.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:51:y:2006:i:4:p:2218-2231.

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24. Pricing American Options on Jump-Diffusion Processes using Fourier Hermite Series Expansions. (2005). Ziogas, Andrew.
    In: Research Paper Series.
    RePEc:uts:rpaper:145.

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25. A Fuzzy Set Approach for Generalized CRR Model: An Empirical Analysis of S&P 500 Index Options. (2005). Wang, Shin-Yun ; Tzeng, Gwo-Hshiung ; Lee, Cheng.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:25:y:2005:i:3:p:255-275.

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26. McKeans Methods Applied to American Call Options on Jump-Diffusion Processes. (2004). Ziogas, Andrew.
    In: Research Paper Series.
    RePEc:uts:rpaper:117.

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27. Valuing Bermudan options when asset returns are Levy processes. (2004). Webber, Nick ; Evis Këllezi, .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:4:y:2004:i:1:p:87-100.

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28. Weak convergence of tree methods, to price options on defaultable assets. (2004). Vellekoop, M. H. ; Nieuwenhuis, J. W..
    In: Decisions in Economics and Finance.
    RePEc:spr:decfin:v:27:y:2004:i:2:p:87-107.

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29. Mixed Lognormal Distributions for Derivatives Pricing and Risk-Management. (2004). Leisen, Dietmar.
    In: Computing in Economics and Finance 2004.
    RePEc:sce:scecf4:48.

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30. Pricing American Options on Jump-Diffusion Processes using Fourier-Hermite Series Expansions. (2004). Ziogas, Andrew.
    In: Computing in Economics and Finance 2004.
    RePEc:sce:scecf4:177.

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31. Properties of Multinomial Lattices with Cumulants for Option Pricing and Hedging. (2004). .
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:11:y:2004:i:3:p:335-365.

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32. The compound option approach to American options on jump-diffusions. (2004). Gukhal, C. R. Chandrasekhar Reddy, .
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    RePEc:eee:dyncon:v:28:y:2004:i:10:p:2055-2074.

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33. Approximation of A Jump-Diffusion Process. (2004). lee, sanghoon.
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    RePEc:ecm:feam04:412.

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34. Empirical option pricing: a retrospection. (2003). Bates, David S..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:116:y:2003:i:1-2:p:387-404.

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35. Option prices under Bayesian learning: implied volatility dynamics and predictive densities. (2003). Timmermann, Allan ; Guidolin, Massimo.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:27:y:2003:i:5:p:717-769.

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36. Small dimension PDE for discrete Asian options. (2003). Benhamou, Eric ; Duguet, Alexandre .
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:27:y:2003:i:11-12:p:2095-2114.

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37. Option pricing with Levy Process. (2002). Benhamou, Eric.
    In: Finance.
    RePEc:wpa:wuwpfi:0212006.

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38. The European options hedge perfectly in a Poisson-Gaussian stock market model. (2002). Mancini, C..
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:9:y:2002:i:2:p:87-102.

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39. A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options. (2002). Zhang, Xibin ; Yu, Jun ; Yang, Zhenlin.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2002-17.

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40. Empirical Performance of the Czech and Hungarian Index Options under Jump. (2001). Lee, Gabriel ; Boss, Michael ; Klisz, Chris.
    In: Economics Series.
    RePEc:ihs:ihsesp:91.

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41. Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities. (2001). Timmermann, Allan ; Guidolin, Massimo.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3005.

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42. On the distribution and conditional heteroscedasticity in Taiwan stock prices. (2000). Yeh, Shih-Kuo ; Lin, Bing-Huei.
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:10:y:2000:i:3-4:p:367-395.

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43. The Random-Time Binomial Model. (1998). Dietmar P. J. Leisen, .
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44. The relative mispricing of the constant variance American put model. (1998). Hadjiyannakis, Steve ; Welch, Robert L. ; Culumovic, Louis.
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45. Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model. (1997). Lo, Andrew ; Kogan, Leonid ; Bertsimas, Dimitris.
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46. Taming the Skew: Higher-Order Moments in Modeling Asset Price Processes in Finance. (1997). Das, Sanjiv ; Sundaram, Rangarajan K..
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47. An Efficient Generalized Discrete-Time Approach to Poisson-Gaussian Bond Option Pricing in the Heath-Jarrow-Morton Model. (1997). Das, Sanjiv.
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48. Pricing and hedging derivative securities in incomplete markets : an e-arbitrage approach. (1997). Lo, Andrew ; Bertsimas, Dimitris., .
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    RePEc:mit:sloanp:2673.

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49. The impact of firm specific news on implied volatilities. (1996). Vorst, Ton ; Vorst, Ton C. F., ; Donders, Monique W. M., .
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50. Closing the GARCH gap: Continuous time GARCH modeling. (1996). Werker, Bas ; Drost, Feike C..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:74:y:1996:i:1:p:31-57.

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