Time-changed Lévy processes and option pricing

Journal of Financial Economics

Volumn 71, Issue 1, 2004, Pages 113-141

  Carr, Peter ^a,b   Wu, Liuren ^c  

^a Bloomberg LP   (United States)

^b NEW YORK UNIVERSITY   (United States)

^c CITY UNIVERSITY OF NEW YORK   (United States)

Author keywords

Fourier transforms; L vy processes; Measure change; Option pricing; Random time change

Indexed keywords

EID: 0347592529     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-405X(03)00171-5     Document Type: Article

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