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An entropy approach to the Stein and Stein model with correlation

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2014ON THE MARTINGALE PROPERTY IN STOCHASTIC VOLATILITY MODELS BASED ON TIME‐HOMOGENEOUS DIFFUSIONS27 cited
2009Optimal static-dynamic hedges for exotic options under convex risk measures27 cited

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2006

Characterisation of optimal dual measures via distortion

26 cited

2010Minimal Martingale Measure26 cited

2010The Density Process of theMinimal Entropy Martingale Measure in a Stochastic Volatility Model with Jumps (Reprint)25 cited

2008On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps22 cited

2007The minimal entropy measure and an Esscher transform in an incomplete market model22 cited

2006The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models21 cited