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Stochastic Process
Time Changed Lévy Process
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R. C. Merton, 1976, Option pricing when underlying stock returns are discontinuous
S. Heston, 1993, Closed-form solution for options with stochastic volatility, with application to bond and currency options
D. B. Madan, P. Carr, and E. Chang, 1998, The variance gamma process and option pricing
P. Carr, H. Geman, D. B. Madan, and M. Yor, 2002, The Fine Structure of Asset Returns: An Empirical Investigation
S. G. Kou, 2002, A jump-diffusion model for option pricing
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