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Exponential functionals of Brownian motion, I: Probability laws at fixed time
11 references·11 citing·30 second hop
Exponential functionals of Brownian motion, I: Probability laws at fixed time (2005)Exponential functionals of Brownian motio…Exponential functionals of Lévy processes (2005)Exponential functionals of Lé…Handbook of Brownian Motion - Facts and Formulae (2002)Handbook of Brownian Motion -…On Some Exponential Functionals of Brownian Motion (2001)On Some Exponential Functiona…Exponential Functionals of Brownian Motion and Related Processes (2001)Exponential Functionals of Br…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Handbook of Brownian Motion — Facts and Formulae (1996)Handbook of Brownian Motion —…BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)BESSEL PROCESSES, ASIAN OPTIO…On some exponential functionals of Brownian motion (1992)On some exponential functiona…Continuous Martingales and Brownian Motion (1991)Continuous Martingales and Br…The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding (1990)The Distribution of a Perpetu…DIFFUSION PROCESSES AND THEIR SAMPLE PATHS (1967)DIFFUSION PROCESSES AND THEIR…Market attention and Bitcoin price modeling: theory, estimation and option pricing (2019)Market attention and Bitcoin …Exact Simulation of the SABR Model (2017)Exact Simulation of the SABR …Asymptotics for Rough Stochastic Volatility Models (2017)Asymptotics for Rough Stochas…The α -hypergeometric stochastic volatility model (2015)The α -hypergeometric stochas…Pension saving schemes with return smoothing mechanism (2013)Pension saving schemes with r…Bayesian Disorder Problems on Filtered Probability Spaces (2013)Bayesian Disorder Problems on…Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model (2012)Pricing Asian Options Under a…Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model (2011)Small-Time Asymptotics for an…Exponential functionals of Brownian motion and class-one Whittaker functions (2011)Exponential functionals of Br…ASYMPTOTIC BEHAVIOR OF DISTRIBUTION DENSITIES IN MODELS WITH STOCHASTIC VOLATILITY. I (2010)ASYMPTOTIC BEHAVIOR OF DISTRI…Solving SABR in Exact Form and Unifying it with LIBOR Market Model (2009)Solving SABR in Exact Form an…A pricing method for options based on average asset values (1990)PRICING OF AMERICAN PATH‐DEPENDENT CONTINGENT CLAIMS (1996)Laguerre Series for Asian and Other Options (2000)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)The value of an Asian option (1995)Order Flow, Transaction Clock, and Normality of Asset Returns (2000)Mathematical Methods for Financial Markets (2010)Stochastic Differential Equations (1972)Stochastic Differential Equations: Theory and Applications. (1976)Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution (1998)A survey and some generalizations of Bessel processes (2003)Stochastic Differential Equations (2006)Spectral Expansions for Asian (Average Price) Options (2004)THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE (2004)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Drift Independent Volatility Estimation Based on High, Low, Open, and Close Prices (2000)EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?* (2009)Fluctuations of Lévy Processes with Applications (2014)Estimation of the coefficients of a diffusion from discrete observations (1986)On the optimal stopping problem for one-dimensional diffusions (2003)A general version of the fundamental theorem of asset pricing (1994)Arbitrage Theory in Continuous Time (1998)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)Arbitrage possibilities in Bessel processes and their relations to local martingales (1995)A Note on Option Pricing for the Constant Elasticity of Variance Model (2002)A jump to default extended CEV model: an application of Bessel processes (2006)Rank-1/2: A Simple Way to Improve the OLS Estimation of Tail Exponents (2006)
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References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1991Continuous Martingales and Brownian Motion1,957 cited
  • 1996Handbook of Brownian Motion — Facts and Formulae1,391 cited
  • 2002Handbook of Brownian Motion - Facts and Formulae1,094 cited
  • 1993BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES557 cited
  • 1967DIFFUSION PROCESSES AND THEIR SAMPLE PATHS494 cited
  • 1990The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding379 cited
  • 2001Exponential Functionals of Brownian Motion and Related Processes295 cited
  • 2001On Some Exponential Functionals of Brownian Motion290 cited
  • 1992On some exponential functionals of Brownian motion259 cited
  • 2005Exponential functionals of Lévy processes234 cited

Cited by

  • 2017Asymptotics for Rough Stochastic Volatility Models95 cited
  • 2012Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model92 cited
  • 2017Exact Simulation of the SABR Model52 cited
  • 2009Solving SABR in Exact Form and Unifying it with LIBOR Market Model50 cited
  • 2011

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Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model
39 cited
  • 2013Pension saving schemes with return smoothing mechanism36 cited
  • 2011Exponential functionals of Brownian motion and class-one Whittaker functions36 cited
  • 2019Market attention and Bitcoin price modeling: theory, estimation and option pricing33 cited
  • 2015The α -hypergeometric stochastic volatility model32 cited
  • 2010ASYMPTOTIC BEHAVIOR OF DISTRIBUTION DENSITIES IN MODELS WITH STOCHASTIC VOLATILITY. I27 cited
  • 2013Bayesian Disorder Problems on Filtered Probability Spaces26 cited