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Fast Pricing of Energy Derivatives with Mean-Reverting Jump-diffusion Processes
Applied Mathematical Finance, 2021Nicola Cufaro Petroni +1 more
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Pricing exchange options with correlated jump diffusion processes
Quantitative Finance, 2020Nicola Cufaro Petroni +1 more
exaly
On Markov Jump Processes Imbedded at Jump Epochs and Their Queueing-Theoretic Applications
Mathematics of Operations Research, 1982Benjamin Melamed
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APPROXIMATING GARCH-JUMP MODELS, JUMP-DIFFUSION PROCESSES, AND OPTION PRICING
Mathematical Finance, 2006Peter Ritchken
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Equivalent and absolutely continuous measure changes for jump-diffusion processes
Annals of Applied Probability, 2005Patrick Cheridito
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Integration by parts and densities for jump processes
Stochastic and Stochastics Reports, 1989Robert Elliott, Michael Kohlmann
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Occupation time densities for stable-like processes and other pure jump Markov processes
Stochastic Processes and Their Applications, 1988Richard F Bass
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