References

• 1998Methods of Mathematical Finance1,939 cited
• 1976Stochastic Differential Equations and Applications1,378 cited
• 1998Randomization and the American Put404 cited
• 1992The Pricing of the American Option348 cited
• 2003Russian and American put options under exponential phase-type Lévy models339 cited
• 2004Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options264 cited
• 1993The Russian Option: Reduced Regret229 cited
• 2007A Change-of-Variable Formula with Local Time on Surfaces228 cited
• 2005ON THE AMERICAN OPTION PROBLEM207 cited
• 2005A Change-of-Variable Formula with Local Time on Curves176 cited
• 1995Quadratic Covariation and an Extension of Itô's Formula143 cited
• 1995A New Look at Pricing of the ”Russian Option“122 cited
• 2005The Russian option: Finite horizon99 cited
• 2000Integration with respect to local time96 cited
• 2003Perpetual options and Canadization through fluctuation theory91 cited
• 1995Toward the Theory of Pricing of Options of Both European and American Types. II. Continuous Time