Guegan, Dominique; Ielpo, Florian; Lalaharison, Hanjarivo - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2011
In this paper we propose new option pricing models based on class of models with jump contain in the Lévy-type based …, making the approach developed here interesting to price option when option markets are illiquid or when such markets simply …