49 citations to 10.2307/3318509 (Crossref Cited-By Service)
  1. Zhenyu Cui, Duy Nguyen, “Magnitude and Speed of Consecutive Market Crashes in a Diffusion Model”, Methodol Comput Appl Probab, 20, no. 1, 2018, 117  crossref
  2. A. A. Kamenov, “Bachelier-Version of Russian Option with a Finite Time Horizon”, Theory Probab. Appl., 53, no. 3, 2009, 548  crossref
  3. Patrick Cheridito, Ashkan Nikeghbali, Eckhard Platen, “Processes of Class Sigma, Last Passage Times, and Drawdowns”, SIAM J. Finan. Math., 3, no. 1, 2012, 280  crossref
  4. Angelos Dassios, Junyi Zhang, “Parisian Time of Reflected Brownian Motion with Drift on Rays and Its Application in Banking”, Risks, 8, no. 4, 2020, 127  crossref
  5. Hongzhong Zhang, Olympia Hadjiliadis, “Drawdowns and the Speed of Market Crash”, Methodol Comput Appl Probab, 14, no. 3, 2012, 739  crossref
  6. Peter P. Carr, Hélyette Geman, Dilip B. Madan, Marc Yor, “Stochastic Volatility for Levy Processes”, SSRN Journal, 2002  crossref
  7. Анна Алексеевна Голдаева, Anna Alekseevna Goldaeva, “Об аналоге характеризационной теоремы Леви для случайного блуждания”, УМН, 59, no. 2, 2004, 191  crossref
  8. Сергей Н Лобанов, Sergei N Lobanov, “Вероятностные характеристики падений броуновского движения со сносом”, ТВП, 50, no. 3, 2005, 570  crossref
  9. A. N. Borodin, “Distributions of Functionals of the Local Time of Brownian Motion with Discontinuous Drift”, J Math Sci, 268, no. 5, 2022, 599  crossref
  10. Steven N. Evans, Alexandru Hening, “Markov processes conditioned on their location at large exponential times”, Stochastic Processes and their Applications, 129, no. 5, 2019, 1622  crossref
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