References

No references inside the corpus for this window.

Cited by

• 2005Some remarks on first passage of Lévy processes, the American put and pasting principles206 cited
• 2008PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH188 cited
• 2004PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES159 cited
• 2010TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING98 cited
• 2008Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms96 cited
• 2011A Wiener–Hopf Monte Carlo simulation technique for Lévy processes95 cited
• 2011CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES91 cited
• 2009Fast and accurate pricing of barrier options under Lévy processes88 cited
• 2007Monte Carlo Option Pricing for Tempered Stable (CGMY) Processes73 cited
• 2004Real R&D options170 cited
• 2007THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS64 cited
• 2009PRICES AND SENSITIVITIES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS63 cited
• 2005American options: the EPV pricing model62 cited
• 2009VALUATION OF CONTINUOUSLY MONITORED DOUBLE BARRIER OPTIONS AND RELATED SECURITIES