39 citations to 10.1214/09-AAP600 (Crossref Cited-By Service)
  1. Roman V. Ivanov, “On the Stochastic Volatility in the Generalized Black-Scholes-Merton Model”, Risks, 11, no. 6, 2023, 111  crossref
  2. Roman V. Ivanov, Katsunori Ano, “On exact pricing of FX options in multivariate time-changed Lévy models”, Rev Deriv Res, 19, no. 3, 2016, 201  crossref
  3. Thorsten Rheinländer, Michael Schmutz, “Quasi–Self-Dual Exponential Lévy Processes”, SIAM J. Finan. Math., 5, no. 1, 2014, 656  crossref
  4. Ilya Molchanov, Michael Schmutz, “Exchangeability-type properties of asset prices”, Advances in Applied Probability, 43, no. 3, 2011, 666  crossref
  5. Griselda Deelstra, Pierre Devolder, Kossi Gnameho, Peter Hieber, “VALUATION OF HYBRID FINANCIAL AND ACTUARIAL PRODUCTS IN LIFE INSURANCE BY A NOVEL THREE-STEP METHOD”, ASTIN Bull., 50, no. 3, 2020, 709  crossref
  6. Laura Ballotta, Grrgory Rayye, “Smiles & Smirks: A Tale of Factors”, SSRN Journal, 2017  crossref
  7. Aleš Černý, Johannes Ruf, “Simplified stochastic calculus via semimartingale representations”, Electron. J. Probab., 27, no. none, 2022  crossref
  8. FRED ESPEN BENTH, HANNA ZDANOWICZ, “PRICING AND HEDGING OF ENERGY SPREAD OPTIONS AND VOLATILITY MODULATED VOLTERRA PROCESSES”, Int. J. Theor. Appl. Finan., 19, no. 01, 2016, 1650002  crossref
  9. Lorenzo Torricelli, “Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes”, Rev Deriv Res, 19, no. 1, 2016, 1  crossref
  10. Laura Ballotta, Griselda Deelstra, Grrgory Rayye, “Quanto Implied Correlation in a Multi-LLvy Framework”, SSRN Journal, 2015  crossref
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