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]
@inproceedings{Kou00,
title = {A jump diffusion model for option pricing with three properties: leptokurtic feature, volatility smile, and analytical tractability},
author = {Steven G. Kou},
year = {2000},
doi = {10.1109/CIFER.2000.844610},
url = {http://dx.doi.org/10.1109/CIFER.2000.844610},
researchr = {https://researchr.org/publication/Kou00},
cites = {0},
citedby = {0},
pages = {129-131},
booktitle = {Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering, CIFEr 2000, New York City, USA, March 28, 2000},
publisher = {IEEE},
isbn = {0-7803-6429-5},
}