References

No references inside the corpus for this window.

Cited by

• 2004Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options420 cited
• 2014Fluctuations of Lévy Processes with Applications375 cited
• 1999The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures369 cited
• 2003Pricing and Hedging Spread Options338 cited
• 2011Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives329 cited
• 1998Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts196 cited
• 2005A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS192 cited
• 2008OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS191 cited
• 1998On the discounted penalty at ruin in a jump-diffusion and the perpetual put option180 cited
• 2004Number of paths versus number of basis functions in American option pricing151 cited
• 2010Affine fractional stochastic volatility models150 cited
• 2004Fast deterministic pricing of options on Lévy driven assets144 cited
• 2010Itô’s stochastic calculus: Its surprising power for applications141 cited
• 1999Reconstructing the unknown local volatility function133 cited