We thank George Panayotov for assistance with the computations reported in this paper. Dilip Madan thanks Ajay Khanna for important discussions and perspectives on the problems studied here. Errors are our own responsibility.
Stochastic Volatility for Lévy Processes
Version of Record online: 29 MAY 2003
Volume 13, Issue 3, pages 345–382, July 2003
How to Cite
Carr, P., Geman, H., Madan, . D. B. and Yor, M. (2003), Stochastic Volatility for Lévy Processes. Mathematical Finance, 13: 345–382. doi: 10.1111/1467-9965.00020
Manuscript received October 2001; final revision received June 2002.
- Issue online: 29 MAY 2003
- Version of Record online: 29 MAY 2003
- Accepted 2001 October 12. Received 2001 October 11; in original form 2001 March 21
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