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Quantitative Finance Volume 4, 2004 - Issue 5: Special Issue Title: New Directions in Option Pricing
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Original Articles

A non-Gaussian option pricing model with skew

Lisa Borland Evnine-Vaughan Associates, Inc., 456 Montgomery Street, Suite 800, San Francisco, CA 94104, USA
&
Jean-Philippe Bouchaud Science and Finance/Capital Fund Management, 6–8 Bd Haussmann, 75009 Paris, FranceView further author information
Pages 499-514 | Received 24 Mar 2004, Published online: 19 Jun 2011

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Li Kang, Stephen Walker, Paul Damien & Derek Bunn. (2022) Bayesian estimation of electricity price risk with a multi-factor mixture of densities. Quantitative Finance 22:8, pages 1535-1544.
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Lisa Borland. (2012) Statistical signatures in times of panic: markets as a self-organizing system. Quantitative Finance 12:9, pages 1367-1379.
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Lisa Borland. (2007) A theory of non-Gaussian option pricing. Quantitative Finance 7:6, pages 701-701.
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Michel Vellekoop & Hans Nieuwenhuis. (2007) On option pricing models in the presence of heavy tails. Quantitative Finance 7:5, pages 563-573.
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Articles from other publishers (9)

T. D. Frank. (2013) Strongly Nonlinear Stochastic Processes in Physics and the Life Sciences. ISRN Mathematical Physics 2013, pages 1-28.
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T. D. Frank. (2009) Deterministic and stochastic components of nonlinear Markov models with an application to decision making during the bailout votes 2008 (USA). The European Physical Journal B 70:2, pages 249-255.
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Yuri A. Katz. (2018) q-Gaussian Model of Default: Valuation of CDS Spreads. SSRN Electronic Journal.
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Pier Francesco Procacci & Tomaso Aste. (2018) Forecasting Market States. SSRN Electronic Journal.
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Marian Gidea & Yuri A. Katz. (2017) Topological Data Analysis of Financial Time Series: Landscapes of Crashes. SSRN Electronic Journal.
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Yuri A. Katz. (2015) Navigating Beyond the Credit Triangle. SSRN Electronic Journal.
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Sofiane Aboura & Didier Maillard. (2014) Option Pricing under Skewness and Kurtosis Using a Cornish Fisher Expansion. SSRN Electronic Journal.
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Yuri A. Katz & Li Tian. (2013) Superstatistical Fluctuations in Time Series of Leverage Returns. SSRN Electronic Journal.
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Fulvio Baldovin, Massimiliano Caporin, Michele Caraglio, Attilio Stella & Marco Zamparo. (2013) Option Pricing with Anomalous Scaling and Infinite-State Switching Volatility. SSRN Electronic Journal.
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