From local volatility to local Lévy models
定义了局部Lévy过程，即通过非齐次局部速度函数进行时间变换的Lévy过程，并展示了如何从交易期权价格中反推该函数，推广了局部波动率模型。
We define the class of local Levy processes. These are Levy processes time changed by an inhomogeneous local speed function. The local speed function is a deterministic function of time and the level of the process itself. We show how to reverse engineer the local speed function from traded option prices of all strikes and maturities. The local Levy processes generalize the class of local volatility models. Closed forms for local speed functions for a variety of cases are also presented. Numerical methods for recovery are also described.