Espen R. Jakobsen, Kenneth H. Karlsen, Claudia La Chioma, “Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions”, Numer. Math., 110, no. 2, 2008, 221
Dileep G. Dhavale, “Cost Considerations in Optimal Capacity Acquisition: An Option Pricing Approach”, Journal of Management Accounting Research, 17, no. 1, 2005, 75
Yurii N. Grigoriev, Nail H. Ibragimov, Vladimir F. Kovalev, Sergey V. Meleshko, 806, Symmetries of Integro-Differential Equations, 2010, 209
Anatoliy V. Swishchuk, “Pricing of Variance and Volatility Swaps with Semi-Markov Volatilities”, SSRN Journal, 2009
N. E. Frangos, S. D. Vrontos, A. N. Yannacopoulos, “Reinsurance control in a model with liabilities of the fractional Brownian motion type”, Appl Stoch Models Bus & Ind, 23, no. 5, 2007, 403
Feng Xu, Runze Li, “The pricing formulas of compound option based on the sub-fractional Brownian motion model”, J. Phys.: Conf. Ser., 1053, 2018, 012027
Oleg Kudryavtsev, Natalia Danilova, “APPLICATIONS OF ARTIFICIAL NEURAL NETWORKS TO SIMULATING LÉVY PROCESSES”, J Math Sci, 271, no. 4, 2023, 421
N H Bingham, Rüdiger Kiesel, “Semi-parametric modelling in finance: theoretical foundations”, Quantitative Finance, 2, no. 4, 2002, 241
Albert N. Shiryaev, Problems in Probability, 2012, 181
Jarno Talponen, “On volatility smile and an investment strategy with out-of-the-money calls”, Math Finan Econ, 10, no. 2, 2016, 113