164 citations to 10.1007/s007800200069 (Crossref Cited-By Service)
  1. Shian-Chang Huang, Nan-Yu Wang, Ming-Hsiang Huang, “Pricing multivariate options under stochastic volatility lévy processes”, Journal of Information and Optimization Sciences, 32, № 2, 2011, 381  crossref
  2. David Criens, “Structure-preserving equivalent martingale measures for ℋ-SII models”, J. Appl. Probab., 55, № 1, 2018, 1  crossref
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  4. Young Lee, Thorsten Rheinländer, “On the cumulant transforms for Hawkes processes”, J. Appl. Probab., 60, № 2, 2023, 528  crossref
  5. Son-Nan Chen, Pao-Peng Hsu, Chang-Yi Li, “Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion”, Quantitative Finance, 16, № 4, 2016, 573  crossref
  6. Laura Ballotta, Alessandro Morico, “Hidden Correlations: A Self-Exciting Tale from the FX World”, SSRN Journal, 2018  crossref
  7. L. Rüschendorf, Steven Vanduffel, “On the construction of optimal payoffs”, Decisions Econ Finan, 43, № 1, 2020, 129  crossref
  8. Antonis Papapantoleon, “Old and new approaches to LIBOR modeling”, Statistica Neerlandica, 64, № 3, 2010, 257  crossref
  9. Fred Espen Benth, Carlo Sgarra, “The Risk Premium and the Esscher Transform in Power Markets”, Stochastic Analysis and Applications, 30, № 1, 2012, 20  crossref
  10. Fred Espen Benth, Salvador Ortiz-Latorre, “A Pricing Measure to Explain the Risk Premium in Power Markets”, SIAM J. Finan. Math., 5, № 1, 2014, 685  crossref
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