Fajardo, José; Mordecki, Ernesto - IBMEC Business School - Rio de Janeiro - 2005
Mordecki (2004b) to the case of Time-changed Lévy processes. …In this paper we study the pricing problem of derivatives written in terms of a two dimensional Time-changed Lévy … processes. Then, we examine an existing relation between prices of put and call options, of both the European and the American …