Eberlein, Ernst; Jacod, Jean - In: Finance and Stochastics 1 (1997) 2, pp. 131-140
In this paper we consider the valuation of an option with time to expiration $T$ and pay-off function $g$ which is a convex function (as is a European call option), and constant interest rate $r$, in the case where the underlying model for stock prices $(S_t)$ is a purely discontinuous process...