45 citations to 10.1007/s00780-008-0061-0 (Crossref Cited-By Service)
  1. Ernst Eberlein, Kathrin Glau, Antonis Papapantoleon, “Analysis of Fourier Transform Valuation Formulas and Applications”, Applied Mathematical Finance, 17, no. 3, 2010, 211  crossref
  2. Antoine Jacquier, Martin Keller-Ressel, “Implied Volatility in Strict Local Martingale Models”, SIAM J. Finan. Math., 9, no. 1, 2018, 171  crossref
  3. Yuan Hu, W. Brent Lindquist, Svetlozar T. Rachev, Frank J. Fabozzi, “Option Pricing Using a Skew Random Walk Binary Tree”, JRFM, 17, no. 4, 2024, 138  crossref
  4. Gareth G. Haslip, Vladimir K. Kaishev, “Lookback option pricing using the Fourier transform B-spline method”, Quantitative Finance, 14, no. 5, 2014, 789  crossref
  5. Thorsten Rheinländer, Michael Schmutz, “Quasi–Self-Dual Exponential Lévy Processes”, SIAM J. Finan. Math., 5, no. 1, 2014, 656  crossref
  6. Oleg Reichmann, Christoph Schwab, 2001, Lévy Matters I, 2010, 137  crossref
  7. Roman V. Ivanov, “The Analytical Formula for the Distribution Function of the Variance Gamma Process and its Application to Option Pricing”, SSRN Journal, 2012  crossref
  8. Chien-Ling Lo, Kenneth J. Palmer, Min-Teh Yu, “Moment-Matching Approximations for Asian Options”, JOD, 21, no. 4, 2014, 103  crossref
  9. FRED ESPEN BENTH, HANNA ZDANOWICZ, “PRICING AND HEDGING OF ENERGY SPREAD OPTIONS AND VOLATILITY MODULATED VOLTERRA PROCESSES”, Int. J. Theor. Appl. Finan., 19, no. 01, 2016, 1650002  crossref
  10. Alena Andreevna Murzintseva, Sergey Markovich Pergamenshchikov, Evgenii Anatol'ievich Pchelintsev, “Задача хеджирования азиатских опционов купли с транзакционными издержками”, Теория вероятностей и ее применения, 68, no. 2, 2023, 253  crossref
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