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Cited by

• 2003Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets' Information Sufficient to Evaluate Credit Risk?139 cited
• 2000The valuation of American barrier options using the decomposition technique97 cited
• 2003A simple approach for pricing barrier options with time-dependent parameters89 cited
• 2005An exact analytical solution for discrete barrier options89 cited
• 2005A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent Options83 cited
• 2006Analysis of quadrature methods for pricing discrete barrier options61 cited
• 2008Bank capital regulation in a barrier option framework57 cited
• 2006Default risk, bankruptcy procedures and the market value of life insurance liabilities56 cited
• 2004A Merton-Model Approach to Assessing the Default Risk of UK Public Companies54 cited
• 1997Time-dependent barrier option values53 cited
• 1998Double barrier hitting time distributions with applications to exotic options51 cited
• 2012The evaluation of barrier option prices under stochastic volatility48 cited
• 2013On pricing barrier options with regime switching40 cited
• 2009A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries