Guégan, Dominique; Ielpo, Florian; Lalaharison, Hanjarivo - In: Journal of Economic Dynamics and Control 37 (2013) 12, pp. 2417-2445
In this paper we propose new option pricing models based on class of models with jumps contained in the Lévy-type based models (NIG-Lévy, Schoutens, 2003, Merton-jump, Merton, 1976 and Duan based model, Duan et al., 2007). By combining these different classes of models with several volatility...
