164 citations to 10.1007/s007800200069 (Crossref Cited-By Service)
  1. Laura Ballotta, “Pricing and capital requirements for with profit contracts: modelling considerations”, Quantitative Finance, 9, no. 7, 2009, 803  crossref
  2. ARNE LØKKA, JUNWEI XU, “OPTIMAL LIQUIDATION TRAJECTORIES FOR THE ALMGREN–CHRISS MODEL”, Int. J. Theor. Appl. Finan., 23, no. 07, 2020, 2050049  crossref
  3. Chuanzhong Chen, Saisai Yang, “Necessary and Sufficient Conditions for a Class Positive Local Martingale”, APM, 04, no. 10, 2014, 545  crossref
  4. Alexander Sokol, Niels Richard Hansen, “Exponential Martingales and Changes of Measure for Counting Processes”, Stochastic Analysis and Applications, 33, no. 5, 2015, 823  crossref
  5. Idin Noorani, Farshid Mehrdoust, Abdelaziz Nasroallah, “A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model”, Mathematics and Computers in Simulation, 181, 2021, 1  crossref
  6. David Criens, Kathrin Glau, Zorana Grbac, “Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models”, Applied Mathematical Finance, 24, no. 1, 2017, 23  crossref
  7. John W. Lau, Tak Kuen Siu, “On option pricing under a completely random measure via a generalized Esscher transform”, Insurance: Mathematics and Economics, 43, no. 1, 2008, 99  crossref
  8. Hailiang Yang, Wiley StatsRef: Statistics Reference Online, 2014  crossref
  9. Carole Bernard, Zhenyu Cui, Don McLeish, “On the Martingale Property in Stochastic Volatility Models Based on Time-Homogeneous Diffusions”, SSRN Journal, 2013  crossref
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