articleJournal of Financial EconomicsSep 3, 2003Closed access

Time-changed Lévy processes and option pricing

PCPeter CarrLWLiuren Wu

Bloomberg (United States) · Courant Institute of Mathematical Sciences · +2 more institutions

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Abstract

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719
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2

Topics & keywords

Topics
Keywords
  • Valuation of options
  • Economics
  • Benchmark (surveying)
  • Lévy process
  • Jump
  • Econometrics
  • Black–Scholes model
  • Jump diffusion
UN Sustainable Development Goals
  • Industry, innovation and infrastructure
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