18 citations to 10.1515/GMJ.2003.325 (Crossref Cited-By Service)
  1. Taiga Saito, “Pricing Foreign Exchange Options Under Intervention by Absorption Modeling”, Asia-Pac Financ Markets, 23, no. 1, 2016, 85  crossref
  2. H. Gzyl, A. Tagliani, “Recovering a distribution from its translated fractional moments”, Statistics & Probability Letters, 118, 2016, 171  crossref
  3. Aleksandar Mijatović, “Local time and the pricing of time-dependent barrier options”, Finance Stoch, 14, no. 1, 2010, 13  crossref
  4. Angelos Dassios, Luting Li, “Explicit asymptotics on first passage times of diffusion processes”, Adv. Appl. Probab., 52, no. 2, 2020, 681  crossref
  5. Susanne Griebsch, Kay F. Pilz, “A Stochastic Approach to the Valuation of Barrier Options in Heston’s Stochastic Volatility Model”, SSRN Journal, 2012  crossref
  6. Enkelejd Hashorva, Yuliya Mishura, Georgiy Shevchenko, “Boundary Non-crossing Probabilities of Gaussian Processes: Sharp Bounds and Asymptotics”, J Theor Probab, 34, no. 2, 2021, 728  crossref
  7. Konstantin A. Borovkov, Andrew N. Downes, Alexander A. Novikov, Contemporary Quantitative Finance, 2010, 335  crossref
  8. K. Borovkov, A. Novikov, “Explicit Bounds for Approximation Rates of Boundary Crossing Probabilities for the Wiener Process”, Journal of Applied Probability, 42, no. 1, 2005, 82  crossref
  9. S. Herrmann, E. Tanré, “The First-passage Time of the Brownian Motion to a Curved Boundary: an Algorithmic Approach”, SIAM J. Sci. Comput., 38, no. 1, 2016, A196  crossref
  10. Umut Çetin, Ilya Sheynzon, “A simple model for market booms and crashes”, Math Finan Econ, 8, no. 3, 2014, 291  crossref
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