Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns*

The Pricing of Options and Corporate Liabilities

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Option pricing when underlying stock returns are discontinuous

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Limit Theorems for Stochastic Processes.

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Stable Non-Gaussian Random Processes

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Option valuation using the fast Fourier transform

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The Variance Gamma Process and Option Pricing

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A Jump-Diffusion Model for Option Pricing

2002 • 1,800 citations

The jump-risk premia implicit in options: evidence from an integrated time-series study

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The Variance Gamma (V.G.) Model for Share Market Returns

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Post-'87 crash fears in the S&P 500 futures option market

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One-dimensional stable distributions

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Stochastic Volatility for Lévy Processes

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Recovering Risk Aversion from Option Prices and Realized Returns

2000 • 900 citations

Hyperbolic distributions in finance

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Time-changed Lévy processes and option pricing

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Empirical pricing kernels

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Option pricing by Esscher transforms.

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The Finite Moment Log Stable Process and Option Pricing

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Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes

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Option Pricing With V. G. Martingale Components¹

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Multifractality in Asset Returns: Theory and Evidence

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Specification Analysis of Option Pricing Models Based on Time‐Changed Lévy Processes

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OPTION PRICING FOR TRUNCATED LÉVY PROCESSES

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Simulation and Chaotic Behaviour of α-Stable Stochastic Processes.

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The Distribution of Stock Returns

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Pricing contingent claims on stocks driven by Lévy processes

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The cumulant process and Esscher's change of measure

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On the Stable Paretian Behavior of Stock-Market Prices

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Exponential Families of Stochastic Processes

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The Distribution of Futures Prices: A Test of the Stable Paretian and Mixture of Normals Hypotheses

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Accounting for Biases in Black-Scholes

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Optimal portfolios for exponential Lévy processes

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Crash–O–Phobia

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MORE EVIDENCE ON THE DISTRIBUTION OF SECURITY RETURNS

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A Note on the Distribution of Stock Price Changes

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Stable Distributions and the Mixtures of Distributions Hypotheses for Common Stock Returns

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Untitled

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A Reexamination of the Empirical Distribution of Stock Price Changes

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The Market for Crash Risk

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Accouting for Biases in Black-Scholes

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Crash-O-Phobia: A Domestic Fear or A Worldwide Concern?

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On the Stability of the Distribution of the Market Component in Stock Price Changes

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Ultra-slow convergence to a Gaussian: The truncated Lévy flight

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