Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

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

Russian and American put options under exponential phase-type Lévy models

13 references·16 citing·32 second hop

FromToDepth

this work references cited by second hop

References

1963The Variation of Certain Speculative Prices4,851 cited
1997The variation of certain speculative prices4,468 cited
2002A Jump-Diffusion Model for Option Pricing1,895 cited
1998The Variance Gamma Process and Option Pricing1,786 cited
2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
1984Matrix-Geometric Solutions to Stochastic Models1,706 cited
1997Processes of normal inverse Gaussian type1,224 cited
1995Hyperbolic Distributions in Finance959 cited
1985Matrix-geometric solutions in stochastic models871 cited
1963Mandelbrot and the Stable Paretian Hypothesis828 cited
1995Option pricing by Esscher transforms.651 cited
1965Portfolio Analysis in a Stable Paretian Market468 cited
1998Randomization and the American Put404 cited

Cited by

2012The Theory of Scale Functions for Spectrally Negative Lévy Processes259 cited
2005Some remarks on first passage of Lévy processes, the American put and pasting principles206 cited
2011Option Pricing Under a Mixed-Exponential Jump Diffusion Model

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

192 cited

2010Wiener–Hopf factorization and distribution of extrema for a family of Lévy processes130 cited

2012Exit problems for jump processes with applications to dividend problems113 cited

2008Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms96 cited

2007Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process95 cited

2009Fast and accurate pricing of barrier options under Lévy processes88 cited

2014Phase-type fitting of scale functions for spectrally negative Lévy processes87 cited

2007Chapter 2 Jump-Diffusion Models for Asset Pricing in Financial Engineering83 cited

2008On perpetual American put valuation and first-passage in a regime-switching model with jumps83 cited

2015Spitzer Identity, Wiener-Hopf Factorization and Pricing of Discretely Monitored Exotic Options77 cited

2015Breakdowns77 cited

2009A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes76 cited

2008First Passage Times for Markov Additive Processes with Positive Jumps of Phase Type76 cited

2005Pricing Path-Dependent Options with Jump Risk via Laplace Transforms74 cited