37 citations to 10.1214/09-AAP600 (Crossref Cited-By Service)
  1. Robert J. Elliott, Tak Kuen Siu, “Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes”, Applied Mathematical Finance, 20, № 1, 2013, 1  crossref
  2. Ernst Eberlein, Kathrin Glau, Antonis Papapantoleon, “Analysis of Fourier Transform Valuation Formulas and Applications”, Applied Mathematical Finance, 17, № 3, 2010, 211  crossref
  3. Griselda Deelstra, Pierre Devolder, Kossi Gnameho, Peter Hieber, “Valuation of Hybrid Financial and Actuarial Products: A Universal 3-Step Method”, SSRN Journal, 2018  crossref
  4. ALESSANDRO GNOATTO, “COHERENT FOREIGN EXCHANGE MARKET MODELS”, Int. J. Theor. Appl. Finan., 20, № 01, 2017, 1750007  crossref
  5. R. V. Ivanov, “On Computing the Price of Financial Instruments in Foreign Currency”, Autom Remote Control, 79, № 4, 2018, 679  crossref
  6. Michael Schmutz, “Semi-static hedging for certain Margrabe-type options with barriers”, Quantitative Finance, 11, № 7, 2011, 979  crossref
  7. Laura Ballotta, Alessandro Morico, “Hidden Correlations: A Self-Exciting Tale from the FX World”, SSRN Journal, 2018  crossref
  8. 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, № 1, 2015, 28  crossref
  9. Laura Ballotta, Griselda Deelstra, Grégory Rayée, “Multivariate FX models with jumps: Triangles, Quantos and implied correlation”, European Journal of Operational Research, 260, № 3, 2017, 1181  crossref
  10. Gerald H. L. Cheang, Carl Chiarella, “Exchange Options Under Jump-Diffusion Dynamics”, Applied Mathematical Finance, 18, № 3, 2011, 245  crossref
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