References

• 1987The Pricing of Options with Default Risk344 cited
• 2011Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives329 cited
• 1982Further Results on the Constant Elasticity of Variance Call Option Pricing Model308 cited
• 1996Pricing Black-Scholes options with correlated credit risk270 cited
• 2003Singular Perturbations in Option Pricing187 cited
• 2000MEAN-REVERTING STOCHASTIC VOLATILITY176 cited
• 2008Modeling Commodity Prices under the CEV Model77 cited
• 2014The pricing of vulnerable options with double Mellin transforms72 cited
• 2014Pricing vulnerable options under a stochastic volatility model72 cited
• 2004Pricing vulnerable options in incomplete markets61 cited
• 2013Option pricing under hybrid stochastic and local volatility50 cited
• 1985Pricing options on agricultural futures: An application of the constant elasticity of variance option pricing model47 cited
• 2011A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model47 cited
• 2020Efficient Simulation of Generalized SABR and Stochastic Local Volatility Models based on Markov Chain Approximations41 cited
• 2010Asymptotic option pricing under the CEV diffusion