LO, HARRY; MIJATOVIĆ, ALEKSANDAR - In: International Journal of Theoretical and Applied … 14 (2011) 07, pp. 1159-1193
It is well documented that a model for the underlying asset price process that seeks to capture the behaviour of the market prices of vanilla options needs to exhibit both diffusion and jump features. In this paper we assume that the asset price process S is Markov with càdlàg paths and...