We introduce a model for stock prices consisting of a fundamental price process and a news impact curve, which allows for either overreaction, underreaction, or correct response to changes of the fundamental value. We further develop statistics based on OHLC data, which separately measure upside...

Ribeiro and Webber (2006) propose a method to correct for simulation bias in the Monte Carlo valuation of options with pay-offs depending on the extreme value(s) of the underlying which is driven by a special Levy process, namely a normal inverse Gaussian (NIG) or a variance gamma (VG) process....