Cartea, Álvaro; del-Castillo-Negrete, Diego - In: Physica A: Statistical Mechanics and its Applications 374 (2007) 2, pp. 749-763
Most of the recent literature dealing with the modeling of financial assets assumes that the underlying dynamics of equity prices follow a jump process or a Lévy process. This is done to incorporate rare or extreme events not captured by Gaussian models. Of those financial models proposed, the...