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Cited by

• 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications183 cited
• 2004Option Pricing: Valuation Models and Applications164 cited
• 2008Handbook of Financial Engineering118 cited
• 2009Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility75 cited
• 2009Generic Pricing of FX, Inflation and Stock Options Under Stochastic Interest Rates and Stochastic Volatility50 cited
• 2003Mathematical foundation of convexity correction45 cited
• 2004Fast drift-approximated pricing in the BGM model42 cited
• 2007An online estimation scheme for a Hull–White model with HMM-driven parameters35 cited
• 2014A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach31 cited
• 2004Review Paper. Interest–rate term–structure pricing models: a review31 cited
• 2003Pricing and hedging guaranteed annuity options via static option replication31 cited