A jump diffusion model for option pricing with three properties: leptokurtic feature, volatility smile, and analytical tractability

Steven G. Kou. A jump diffusion model for option pricing with three properties: leptokurtic feature, volatility smile, and analytical tractability. In Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering, CIFEr 2000, New York City, USA, March 28, 2000. pages 129-131, IEEE, 2000. [doi]

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