37 citations to 10.1214/09-AAP600 (Crossref Cited-By Service)
  1. Robert J. Elliott, Tak Kuen Siu, “Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes”, Applied Mathematical Finance, 20, no. 1, 2013, 1  crossref
  2. Ernst Eberlein, Kathrin Glau, Antonis Papapantoleon, “Analysis of Fourier Transform Valuation Formulas and Applications”, Applied Mathematical Finance, 17, no. 3, 2010, 211  crossref
  3. Griselda Deelstra, Pierre Devolder, Kossi Gnameho, Peter Hieber, “Valuation of Hybrid Financial and Actuarial Products: A Universal 3-Step Method”, SSRN Journal, 2018  crossref
  4. ALESSANDRO GNOATTO, “COHERENT FOREIGN EXCHANGE MARKET MODELS”, Int. J. Theor. Appl. Finan., 20, no. 01, 2017, 1750007  crossref
  5. R. V. Ivanov, “On Computing the Price of Financial Instruments in Foreign Currency”, Autom Remote Control, 79, no. 4, 2018, 679  crossref
  6. Michael Schmutz, “Semi-static hedging for certain Margrabe-type options with barriers”, Quantitative Finance, 11, no. 7, 2011, 979  crossref
  7. Laura Ballotta, Alessandro Morico, “Hidden Correlations: A Self-Exciting Tale from the FX World”, SSRN Journal, 2018  crossref
  8. Fred Espen Benth, Giulia Di Nunno, Asma Khedher, Maren Diane Schmeck, “Pricing of Spread Options on a Bivariate Jump Market and Stability to Model Risk”, Applied Mathematical Finance, 22, no. 1, 2015, 28  crossref
  9. Laura Ballotta, Griselda Deelstra, Grégory Rayée, “Multivariate FX models with jumps: Triangles, Quantos and implied correlation”, European Journal of Operational Research, 260, no. 3, 2017, 1181  crossref
  10. Gerald H. L. Cheang, Carl Chiarella, “Exchange Options Under Jump-Diffusion Dynamics”, Applied Mathematical Finance, 18, no. 3, 2011, 245  crossref
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