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Cited by

• 2008A Factorisation of Diffusion Measure and Finite Sample Path Constructions99 cited
• 2001Conditioning on One-Step Survival for Barrier Option Simulations74 cited
• 2005LIMITED TIME SERIES WITH A UNIT ROOT70 cited
• 2004Heavy Traffic Limits for Queues with Many Deterministic Servers70 cited
• 2009Stopped diffusion processes: Boundary corrections and overshoot70 cited
• 2004Computational Science - ICCS 200468 cited
• 2014On asymptotic constants in the theory of extremes for Gaussian processes66 cited
• 2009Computing exponential moments of the discrete maximum of a Lévy process and lookback options59 cited
• 1995Approximations for stochastic differential equations with reflecting convex boundaries50 cited
• 2015On the exact and $\varepsilon$-strong simulation of (jump) diffusions38 cited
• 2006Static Hedging of Barrier Options under General Asset Dynamics35 cited
• 2007Chapter 8 Discrete Barrier and Lookback Options32 cited
• 2004Exercise Regions And Efficient Valuation Of American Lookback Options28 cited