44 citations to 10.1007/s00780-008-0061-0 (Crossref Cited-By Service)
  1. Hideharu Funahashi, Masaaki Kijima, “Analytical pricing of single barrier options under local volatility models”, Quantitative Finance, 16, no. 6, 2016, 867  crossref
  2. Friedrich Hubalek, Martin Keller-Ressel, Carlo Sgarra, “Geometric Asian option pricing in general affine stochastic volatility models with jumps”, Quantitative Finance, 17, no. 6, 2017, 873  crossref
  3. ALESSANDRO GNOATTO, “COHERENT FOREIGN EXCHANGE MARKET MODELS”, Int. J. Theor. Appl. Finan., 20, no. 01, 2017, 1750007  crossref
  4. Annie Cuyt, Oliver Salazar Celis, Maryna Lukach, Karel In’t Hout, “Analytic models for parameter dependency in option price modelling”, Numer Algor, 73, no. 1, 2016, 15  crossref
  5. Roman V. Ivanov, “RETRACTED ARTICLE: The distribution of the maximum of a variance gamma process and path-dependent option pricing”, Finance Stoch, 19, no. 4, 2015, 979  crossref
  6. Alessandro Gnoatto, Martino Grasselli, “An Analytic Multi-Currency Model with Stochastic Volatility and Stochastic Interest Rates”, SSRN Journal, 2013  crossref
  7. Roman V. Ivanov, “On the Stochastic Volatility in the Generalized Black-Scholes-Merton Model”, Risks, 11, no. 6, 2023, 111  crossref
  8. Vassili N. Kolokoltsov, “Stochastic Monotonicity and Duality ofkth Order with Application to Put-Call Symmetry of Powered Options”, Journal of Applied Probability, 52, no. 1, 2015, 82  crossref
  9. Min-Teh Yu, “Analytic Approximations for Generalized Asian Options”, SSRN Journal, 2011  crossref
  10. Fred Espen Benth, Giulia Di Nunno, Asma Khedher, Maren Diane Schmeck, “Pricing of Spread Options on a Bivariate Jump Market and Stability to Model Risk”, Applied Mathematical Finance, 22, no. 1, 2015, 28  crossref
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