Yen, Simon; Wang, Jai Jen - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 18, pp. 3826-3836
This study follows Clark [P.K. Clark, A subordinated stochastic process model with finite variance for speculative prices, Econometrica 41 (1973) 135–155] and Chang, Chang and Lim [C.W. Chang, S.K. Chang, K.G. Lim, Information-time option pricing: Theory and empirical evidence, Journal of...
