Work

Time-changed Lévy processes and option pricing

Year: 2003

Type: article

Source: Journal of Financial Economics

DOI: 10.1016/s0304-405x(03)00171-5

Authors: Peter Carr, Liuren Wu

Institutions: Bloomberg (United States), Courant Institute of Mathematical Sciences, New York University, Baruch College

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W1983135873

FWCI: 45.64

Cites: 85

Cited by: 675

Related to: 10