163 citations to 10.1007/s007800200069 (Crossref Cited-By Service)
  1. Shunsuke Kaji, 1934, Séminaire de Probabilités XLI, 2008, 401  crossref
  2. Bernt Øksendal, Agnès Sulem, “Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps”, SIAM J. Control Optim., 48, no. 5, 2010, 2945  crossref
  3. Claudio Fontana, Alessandro Gnoatto, Guillaume Szulda, “CBI-Time-Changed Lévy Processes”, SSRN Journal, 2022  crossref
  4. S. Kindermann, P. A. Mayer, “On the calibration of local jump-diffusion asset price models”, Finance Stoch, 15, no. 4, 2011, 685  crossref
  5. Elisa Nicolato, David Sloth, “Risk Adjustments of Option Prices under Time-Changed Dynamics”, SSRN Journal, 2013  crossref
  6. Robert Matthijs Verschuren, “Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model”, Quantitative Finance, 20, no. 7, 2020, 1123  crossref
  7. R. J. Elliott, T. K. Siu, “A generalized Esscher transform for option valuation with regime switching risk”, Quantitative Finance, 22, no. 4, 2022, 691  crossref
  8. Liuren Wu, Peter P. Carr, “Time-Changed Levy Process and Option Pricing”, SSRN Journal, 2001  crossref
  9. Friedrich Hubalek, Carlo Sgarra§, “Esscher transforms and the minimal entropy martingale measure for exponential Lévy models”, Quantitative Finance, 6, no. 2, 2006, 125  crossref
  10. Aleš Černý, Johannes Ruf, “Simplified Stochastic Calculus: Multiplicative Compensators and Changes of Measure”, SSRN Journal, 2020  crossref
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