References
- Bertoin, J. 1996. Lévy processes. Cambridge: Cambridge University Press.
- Black, F., and M. Scholes. 1973. “The Pricing of Options and Corporate Liabilities.” Journal of Political Economy 81: 637–654. doi:10.1086/260062.
- Boyarchenko, S., and S. Levendorski˘i. 2002. Non-Gaussian Merton-Black-Scholes Theory. River Edge, NJ: World Scientific.
- Carr, P., and R. Lee. 2009. “Put Call Symmetry: Extensions and Applications.” mathematical Finance 19 (4): 523–560. doi:10.1111/mafi.2009.19.issue-4.
- Carr, P., and L. Wu. 2003. “The Finite Moment Log Stable Process and Option Pricing.” The Journal of Finance 58 (2): 753–777. doi:10.1111/1540-6261.00544.
- Cont, R., and P. Tankov. 2004. Financial Modelling with Jump Processes. Chapman & Hall /CRC Financial Mathematics Series.
- Corcuera, J., J. De Spiegeleer, J. Fajardo, H. Jönsson, W. Schoutens, and A. Val- Divia. 2014. “Close Form Pricing Formulas for Coupon Cancellable Cocos.” Journal of Banking & Finance 42: 339–351. doi:10.1016/j.jbankfin.2014.01.025.
- Corcuera, J., J. Fajardo, W. Schoutens, A. Valdivia, S. Thorbjørnsen, and A. Veraart. 2016. “Cocos with Extension Risk. A Structural Approach.” In The Fascination of Probability, Statistics and Their Applications. in Honour of Ole E. Barndorff-Nielsen, edited by M. Podolskij, R. Stelzer, S. Thorbjørnsen, and A. Veraart, 447–464. Switzerland: Springer.
- De Oliveira, F., J. Fajardo, and E. Mordecki. 2015. “Implied Volatility Smirk in L´evy Market.” Preprint http://ssrn.com/abstract=2544108.
- Eberlein, E., and K. Prause. 2002. “The Generalized Hyperbolic Model: Financial Derivatives and Risk Measures.” In Mathematical Finance-Bachelier Congress 2000, edited by S. P. T. V. H. Geman and D. Madan. NY:Springer Verlag.
- Fajardo, J. 2015. “Barrier Style Contracts under lévy Processes: An Alternative approach.” Journal of Banking & Finance 53: 179–187. doi:10.1016/j.jbankfin.2015.01.002.
- Fajardo, J., and A. Farias. 2004. “Generalized Hyperbolic Distributions and Brazilian Data.” Brazilian Review of Econometrics 24 (2): 249–271.
- Fajardo, J., and E. Mordecki. 2006. “Symmetry and Duality in Lévy Markets.” Quan- Titative Finance 6 (3): 219–227. doi:10.1080/14697680600680068.
- Fajardo, J., and E. Mordecki. 2014. “Skewness Premium with Lévy Processes.” Quantitative Finance 14 (9): 1619–1626. doi:10.1080/14697688.2011.618809.
- Foresi, S., and L. Wu. 2005. “Crash-O-Phobia: A Domestic Fear or A Worldwide Con- Cern?” The Journal of Derivatives 13 (2): 8–21. doi:10.3905/jod.2005.605352.
- Gerhold, S., and I. C. Gu¨lu¨m. 2014. “The Small-Maturity Implied Volatility Slope for L´evy Models.” Preprint http://arxiv.org/abs/1310.3061.
- Jacod, J., and A. Shiryaev. 1987. Limit Theorems for Stochastic Processes. Berlin, Heidelberg: Springer.
- Sato, K.-I. 1999. L´evy Processes and Infinitely Divisible Distributions. Cambridge, UK: Cambridge Uni- Versity Press.
- Schoutens, W. 2003. L´evy Processes in Finance: Pricing Financial Derivatives. New York, NY: Wiley.
- Schoutens, W., and J. De Spiegeleer. 2011. Contingent Convertible Coco-Notes: Structuring & Pricing. London: Euromoney Trading Ltd.
- Skorokhod, A. V. 1991. Random Processes with Independent Increments. Dordrecht: Kluwer Aca- demic Publishers.
- Te´dongap, R., B. Feunou, and J.-S. Fontaine. 2009. “Implied Volatility And Skewness Surface.” EFA meeting paper, Bergen August.
- Zhang, J., and Y. Xiang. 2008. “The Implied Volatility Smirk.” Quantitative Finance 8 (3): 263–284. doi:10.1080/14697680601173444.