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Integration by Parts for Poisson Processes
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Integration by Parts for Poisson Processes (1993)Integration by Parts for Poisson ProcessesGREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSES (2010)GREEKS FORMULAS FOR AN ASSET …Stochastic calculus of variations for general Lévy processes and its applications to jump-type SDE's with non-degenerated drift (2006)Stochastic calculus of variat…Malliavin calculus for Lévy processes with arbitrary Lévy measures (2006)Malliavin calculus for Lévy p…Stochastic Differential Equations and Diffusion Processes (1983)Malliavin calculus for processes with jumps (1991)Stochastic differential equations and their applications (1997)On the absolute continuity of multidimensional Ornstein-Uhlenbeck processes (2010)Degenerate irregular SDEs with jumps and application to integro-differential equations of Fokker-Planck type (2013)Simplified malliavin calculus (1986)On the existence of smooth densities for jump processes (1996)The Variance Gamma Process and Option Pricing (1998)Option valuation using the fast Fourier transform (1999)The Malliavin Calculus and Related Topics (2006)Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion (2010)Practical finite difference method for solving multi-dimensional black-Scholes model in fractal market (2022)
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  • 2010GREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSES28 cited
  • 2006Malliavin calculus for Lévy processes with arbitrary Lévy measures21 cited
  • 2006Stochastic calculus of variations for general Lévy processes and its applications to jump-type SDE's with non-degenerated drift17 cited

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