Claudio Fontana, Alessandro Gnoatto, Guillaume Szulda, “CBI-time-changed Lévy processes for multi-currency modeling”, Ann Oper Res, 2022
Yeliz Yolcu Okur, “An extension of the Clark–Ocone formula under benchmark measure for Lévy processes”, Stochastics, 84, no. 2-3, 2012, 251
Shian-Chang Huang, Mao-Wei Hung, “Pricing foreign equity options under Lévy processes”, J. Fut. Mark., 25, no. 10, 2005, 917
Peter P. Carr, Laurent Cousot, “A PDE Approach to Jump-Diffusions”, SSRN Journal, 2010
Клебанер, Klebaner, Липцер, Liptser, “Когда стохастическая экспонента является мартингалом. Развитие метода Бенеша”, Теория вероятностей и ее применения, 58, no. 1, 2013, 53
Romuald Hervé Momeya, Manuel Morales, “On the Price of Risk of the Underlying Markov Chain in a Regime-Switching Exponential Lévy Model”, Methodol Comput Appl Probab, 18, no. 1, 2016, 107
ROBERT J. ELLIOTT, TAK KUEN SIU, LEUNGLUNG CHAN, “OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING”, Int. J. Theor. Appl. Finan., 09, no. 06, 2006, 825
R. V. Ivanov, A. N. Shiryaev, “On Duality Principle for Hedging Strategies in Diffusion Models”, Theory Probab. Appl., 56, no. 3, 2012, 376
Silke Prohl, “Libor Market Models”, SSRN Journal, 2012
Dimitri O. Ledenyov, Viktor O. Ledenyov, “Strategies on Initial Public Offering of Company Equity at Stock Exchanges in Imperfect Highly Volatile Global Capital Markets with Induced Nonlinearities”, SSRN Journal, 2014