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Cited by

• 1987Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application978 cited
• 1990ARCH models as diffusion approximations943 cited
• 1993A Model of Intertemporal Asset Prices Under Asymmetric Information714 cited
• 1990A pricing method for options based on average asset values628 cited
• 1990The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding379 cited
• 1990Simple Binomial Processes as Diffusion Approximations in Financial Models379 cited
• 2005Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift308 cited
• 1985Blocking When Service Is Required From Several Facilities Simultaneously293 cited
• 1996Filtering and Forecasting With Misspecified Arch Models I: Getting The Right Variance With The Wrong Model*254 cited
• 1994Chapter 46 Unit roots, structural breaks and trends243 cited
• 1982The Pricing of Options on Default-Free Bonds239 cited
• 1998Optimal trading strategy for an investor: the case of partial information231 cited
• 2011An analytical Wiener path integral technique for non-stationary response determination of nonlinear oscillators181 cited
• 2005Journal De La Société Française De Statistique