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Mimicking the marginal distributions of a semimartingale
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References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1981Point Processes and Queues1,652 cited
  • 2003Stochastic Volatility for Lévy Processes871 cited
  • 1986Mimicking the one-dimensional marginal distributions of processes having an ito differential305 cited
  • 2007Existence and uniqueness of martingale solutions for SDEs with rough or degenerate coefficients213 cited
  • 1980Semimartingales and Markov processes197 cited
  • 1993Pricing and hedging with smiles161 cited
  • 2004Stochastic differential equations with jumps101 cited
  • 2009A Brownian sheet martingale with the same marginals as the arithmetic average of geometric Brownian motion25 cited

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