Momentum and reversion in risk neutral martingale probabilities

References

• Angelos, B., The Hunt variance gamma process with applications to option pricing. PhD Dissertation, University of Maryland, 2013.
   Google Scholar
• Barndorff-Nielsen, O.E., Processes of normal inverse Gaussian type. Finance Stoch., 1998, 2, 41–68.
   Google Scholar
• Bass, R.F., Uniqueness in law for pure jump Markov processes. Probab. Theory Relat. Fields, 1988, 79, 271–287.
   Web of Science ®Google Scholar
• Black, F., Studies of stock price volatility changes. In Proceedings of the 1976 Meetings of the American Statistical Association, pp. 177–181, 1976.
   Google Scholar
• Black, F. and Scholes, M., The pricing of options and corporate liabilities. J. Polit. Econ., 1973, 81, 637–654.
   Web of Science ®Google Scholar
• Breeden, D. and Litzenberger, R., Prices of state contingent claims implicit in options prices. J. Bus., 1978, 51, 621–651.
   Web of Science ®Google Scholar
• Carr, P., Geman, H., Madan, D. and Yor, M., The fine structure of asset returns: An empirical investigation. J. Bus., 2002, 75(2), 305–332.
   Web of Science ®Google Scholar
• Carr, P., Geman, H., Madan, D. and Yor, M., Stochastic volatility for Lévy processes. Math. Finance, 2003, 13, 345–382.
   Web of Science ®Google Scholar
• Carr, P., Geman, H., Madan, D.B. and Yor, M., Self-decomposability and option pricing. Math. Finance, 2007, 17, 31–57.
   Web of Science ®Google Scholar
• Carr, P. and Madan, D.B., Option valuation using the fast Fourier transform. J. Comput. Finance, 1999, 2, 61–73.
   Google Scholar
• Carr, P. and Madan, D.B., A note on sufficient conditions for no arbitrage. Finance Res. Lett., 2005, 2, 125–130.
   Google Scholar
• Davis, M. and Hobson, D., The range of traded options. Math. Finance, 2007, 17, 1–14.
   Web of Science ®Google Scholar
• Derman, E. and Kani, I., Riding on a smile. Risk, 1994, 7, 32–39.
   Google Scholar
• Duffie, D., Filipovic, D. and Schachermayer, W., Affine processes and applications in finance. Ann. Appl. Probab., 2003, 13, 984–1053.
   Web of Science ®Google Scholar
• Dupire, B., Pricing with a smile. Risk, 1994, 7, 18–20.
   Google Scholar
• Engle, R.F. and Ng, V.K., Measuring and testing the impact of news on volatility. J. Finance, 1993, 48, 1749–1778.
   Web of Science ®Google Scholar
• Heston S., A closed-form solution for options with stochastic volatility with applications to bond and currency options. Rev. Financ. Stud., 1993, 6, 327–343.
   Web of Science ®Google Scholar
• Hunt, G., Martingales et Processus de Markov [Martingales and Markov Processes], 1966 (Dunod).
   Google Scholar
• Khintchine, A.Ya., Limit Laws of Sums of Independent Random Variables, 1938 (ONTI: Moscow), (Russian).
   Google Scholar
• Konikov, M. and Madan, D., Stochastic volatility via Markov chains. Rev. Deriv. Res., 2002, 5, 81–115.
   Google Scholar
• Lévy, P., Théorie de l’Addition des Variables Aléatoires [Theory of Addition of Random Variables], 1937 (Gauthier-Villars: Paris).
   Google Scholar
• Madan, D., Stochastic processes in finance. Ann. Rev. Financ. Econ., 2010, 2, 277–314.
   Web of Science ®Google Scholar
• Madan, D., Carr, P. and Chang, E., The variance gamma process and option pricing. Eur. Finance Rev., 1998, 2, 79–105.
   Google Scholar
• Madan, D., Pistorius, M. and Schoutens, W., The valuation of structured products using Markov chain models. Quant. Finance, 2013, 13(1), 125–136.
   Web of Science ®Google Scholar
• Madan, D.B. and Seneta, E., The variance gamma (VG) model for share market returns. J. Bus., 1990, 63, 511–524.
   Web of Science ®Google Scholar
• Mijatović, A. and Pistorius, M., Continuously Monitored Barrier Options Under Markov Processes, 2009, arXiv: 0908.4028v1.
   Google Scholar
• Merton, R.C., Theory of rational option pricing. Bell J. Econ. Manage. Sci., 1973, 4, 141–183.
   Google Scholar
• Nelson, D.B., Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 1991, 59, 347–370.
   Web of Science ®Google Scholar
• Stroock, D.W., Diffusion processes associated with Lévy generators. Probab. Theory Relat. Fields, 1975, 32, 209–244.
   Web of Science ®Google Scholar
• Stroock, D.W. and Varadhan, S.R.S., Multidimensional Diffusion Processes, A Series of Comprehensive Studies in Mathematics, Vol. 233, 1979 (Springer-Verlag: Berlin).
   Google Scholar