Ding, Kailin; Cui, Zhenyu; Wang, Yongjin A Markov chain approximation scheme for option pricing under skew diffusions. (English) Zbl 1466.91332 Quant. Finance 21, No. 3, 461-480 (2021). MSC: 91G20 60J28 PDF BibTeX XML Cite \textit{K. Ding} et al., Quant. Finance 21, No. 3, 461--480 (2021; Zbl 1466.91332) Full Text: DOI OpenURL
Lejay, Antoine; Pigato, Paolo A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. (English) Zbl 1411.91645 Int. J. Theor. Appl. Finance 22, No. 4, Article ID 1950017, 24 p. (2019). MSC: 91G99 62P05 PDF BibTeX XML Cite \textit{A. Lejay} and \textit{P. Pigato}, Int. J. Theor. Appl. Finance 22, No. 4, Article ID 1950017, 24 p. (2019; Zbl 1411.91645) Full Text: DOI arXiv OpenURL
Siu, Tak Kuen A self-exciting threshold jump-diffusion model for option valuation. (English) Zbl 1369.91185 Insur. Math. Econ. 69, 168-193 (2016). MSC: 91G20 60J75 62M10 PDF BibTeX XML Cite \textit{T. K. Siu}, Insur. Math. Econ. 69, 168--193 (2016; Zbl 1369.91185) Full Text: DOI OpenURL