39 citations to 10.1214/09-AAP600 (Crossref Cited-By Service)
  1. Roman V. Ivanov, “On the Stochastic Volatility in the Generalized Black-Scholes-Merton Model”, Risks, 11, № 6, 2023, 111  crossref
  2. Roman V. Ivanov, Katsunori Ano, “On exact pricing of FX options in multivariate time-changed Lévy models”, Rev Deriv Res, 19, № 3, 2016, 201  crossref
  3. Thorsten Rheinländer, Michael Schmutz, “Quasi–Self-Dual Exponential Lévy Processes”, SIAM J. Finan. Math., 5, № 1, 2014, 656  crossref
  4. Ilya Molchanov, Michael Schmutz, “Exchangeability-type properties of asset prices”, Advances in Applied Probability, 43, № 3, 2011, 666  crossref
  5. Griselda Deelstra, Pierre Devolder, Kossi Gnameho, Peter Hieber, “VALUATION OF HYBRID FINANCIAL AND ACTUARIAL PRODUCTS IN LIFE INSURANCE BY A NOVEL THREE-STEP METHOD”, ASTIN Bull., 50, № 3, 2020, 709  crossref
  6. Laura Ballotta, Grrgory Rayye, “Smiles & Smirks: A Tale of Factors”, SSRN Journal, 2017  crossref
  7. Aleš Černý, Johannes Ruf, “Simplified stochastic calculus via semimartingale representations”, Electron. J. Probab., 27, № none, 2022  crossref
  8. FRED ESPEN BENTH, HANNA ZDANOWICZ, “PRICING AND HEDGING OF ENERGY SPREAD OPTIONS AND VOLATILITY MODULATED VOLTERRA PROCESSES”, Int. J. Theor. Appl. Finan., 19, № 01, 2016, 1650002  crossref
  9. Lorenzo Torricelli, “Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes”, Rev Deriv Res, 19, № 1, 2016, 1  crossref
  10. Laura Ballotta, Griselda Deelstra, Grrgory Rayye, “Quanto Implied Correlation in a Multi-LLvy Framework”, SSRN Journal, 2015  crossref
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