165 citations to 10.1007/s007800200069 (Crossref Cited-By Service)
  1. E. Eberlein, J. Liinev, “The Lévy Swap Market Model”, Applied Mathematical Finance, 14, no. 2, 2007, 171  crossref
  2. Bronius Grigelionis, Vigirdas Mackevičius, “The finiteness of moments of a stochastic exponential”, Statistics & Probability Letters, 64, no. 3, 2003, 243  crossref
  3. Ernst Eberlein, Antonis Papapantoleon, Albert N. Shiryaev, “On the duality principle in option pricing: semimartingale setting”, Finance Stoch, 12, no. 2, 2008, 265  crossref
  4. Сюзанна Каустон, Suzanne Cawston, Людмила Ю Вострикова, Lyudmila Yu Vostrikova, “О свойстве непрерывности цены опционов в экспоненциальных моделях связанных с процессами Леви”, ТВП, 54, no. 4, 2009, 645  crossref
  5. Robert Verschuren, “Stochastic Interest Rate Modeling: An Empirical Performance Analysis of the L vy Forward Price Model”, SSRN Journal, 2018  crossref
  6. Yang Shen, Kun Fan, Tak Kuen Siu, “Option Valuation Under a Double Regime‐Switching Model”, Journal of Futures Markets, 34, no. 5, 2014, 451  crossref
  7. Xiandong Wang, Jianmin He, “A geometric Levy model for n-fold compound option pricing in a fuzzy framework”, Journal of Computational and Applied Mathematics, 306, 2016, 248  crossref
  8. Chuin Ching Liew, Tak Kuen Siu, “Martingale Representation and Admissible Portfolio Process with Regime Switching”, Stochastic Analysis and Applications, 29, no. 1, 2010, 106  crossref
  9. Roman V. Ivanov, “On the Stochastic Volatility in the Generalized Black-Scholes-Merton Model”, Risks, 11, no. 6, 2023, 111  crossref
  10. Thomas Goll, Jan Kallsen, “A complete explicit solution to the log-optimal portfolio problem”, Ann. Appl. Probab., 13, no. 2, 2003  crossref
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