Robert J. Elliott, Leunglung Chan, Tak Kuen Siu, “Option pricing and Esscher transform under regime switching”, Annals of Finance, 1, № 4, 2005, 423
Klaus Schürger, Advances in Finance and Stochastics, 2002, 285
Financial Statistics and Mathematical Finance, 2012, 177
G. Peskir, A. N. Shiryaev, “A Note on the Call-Put Parity and a Call-Put Duality”, Theory Probab. Appl., 46, № 1, 2002, 167
Johannes H P Schulz, Aleksei V Chechkin, Ralf Metzler, “Correlated continuous time random walks: combining scale-invariance with long-range memory for spatial and temporal dynamics”, J. Phys. A: Math. Theor., 46, № 47, 2013, 475001
Christian Bender, Mikko S. Pakkanen, Hasanjan Sayit, “Sticky Continuous Processes have Consistent Price Systems”, Journal of Applied Probability, 52, № 2, 2015, 586
Alexander Schied, Handbook on Systemic Risk, 2013, 545
ShinIchi AIHARA, Arunabha BAGCHI, “On Stochastic Parabolic Model for Term Structure Dynamics and Mean-variance Efficient Portfolio”, Stochastic Systems Theory and its Applications (SSS), 2002, 2002, 194
Roman V. Ivanov, “Closed Form Pricing of European Options for a Family of Normal-Inverse Gaussian Processes”, Stochastic Models, 29, № 4, 2013, 435
Călin Vamoş, Maria Crăciun, Nicolae Suciu, “Automatic algorithm to decompose discrete paths of fractional Brownian motion into self-similar intrinsic components”, Eur. Phys. J. B, 88, № 10, 2015, 250