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Markose, Sheri and Alentorn, Amadeo (2011) The Generalized Extreme Value Distribution, Implied Tail Index, and Option Pricing. The Journal of Derivatives, 18 (3). pp. 35-60. DOI https://doi.org/10.3905/jod.2011.18.3.035
Vitiello, L and Poon, S (2008) General Equilibrium and Risk Neutral Framework for Option Pricing with a Mixture of Distributions. The Journal of Derivatives, 15 (4). pp. 48-60. DOI https://doi.org/10.3905/jod.2008.707210