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In financial engineering, volatility in the stock return processes is one of crucial factors when we deal with asset pricing and risk management. Besides the continuous part and the big jumps, there are a great amount of small jumps in stock prices. In this paper, under the continuous-time financial framework, we use the time-changed Lévy process with infinite activity and infinite variation to construct the SVNIG model, which can capture small jumps. This model can describe the continuousdoi:10.1016/j.sepro.2011.10.032 fatcat:qkwae6mqvjgylann2kk2d7z3qy