Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Pricing Parisan Options

2 references·11 citing·32 second hop

FromToDepth

this work references cited by second hop

References

1994Option pricing: Mathematical models and computation805 cited
1997Brownian Excursions and Parisian Barrier Options255 cited

Cited by

2006Default risk, bankruptcy procedures and the market value of life insurance liabilities56 cited
2006Extending quadrature methods to value multi-asset and complex path dependent options51 cited
2002Valuing Corporate Liabilities When the Default Threshold is Not an Absorbing Barrier51 cited
2001Pricing Algorithms for Options with Exotic Path-Dependence43 cited
2017Robust barrier option pricing by frame projection under exponential Lévy dynamics35 cited
2009Pension Regulation and the Market Value of Pension Liabilities - A Contingent Claims Analysis Using Parisian Options32 cited
2005Liquidation Triggers and the Valuation of Equity and Debt30 cited
2006American Parisian options27 cited
2012Pricing of Parisian Options for a Jump-Diffusion Model with Two-Sided Jumps25 cited
2008A New Prepayment Model (with Default): An Occupation-time Derivative Approach24 cited
2014Liquidation risk in the presence of Chapters 7 and 11 of the US bankruptcy code21 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work