Stylized Empirical Features of Asset Return and American Option Pricing under time-changed Lévy Processes - 廖四郎(Szu-Lang Liao); 陳俊洪(Jun-Home Chen); 連育民(Yu-Min Lian) (Soochow journal of economics and business, 2014)
Keywords: Abnormal returns; Monte Carlo simulation; Put & call options; Studies; United States--US; Esscher transform; 最小平方蒙地卡羅法; Least-squared Monte Carlo Simulation; Normal Inverse Gaussian; Variance Gamma