References

No references inside the corpus for this window.

Cited by

• 2004THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE163 cited
• 2017Resolution of policy uncertainty and sudden declines in volatility154 cited
• 2003Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates146 cited
• 2006A Comparison of Biased Simulation Schemes for Stochastic Volatility Models105 cited
• 2004Chaos and coherence: a new framework for interest–rate modelling99 cited
• 2004ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM98 cited
• 2004On the pricing and hedging of volatility derivatives94 cited
• 2011CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES91 cited
• 2012Order Book Dynamics in Liquid Markets: Limit Theorems and Diffusion Approximations65 cited
• 2013ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS60 cited
• 2016Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing53 cited
• 2006SELF EXCITING THRESHOLD INTEREST RATES MODELS52 cited
• 2012EFFICIENT PRICING AND RELIABLE CALIBRATION IN THE HESTON MODEL52 cited
• 2011FX smile in the Heston model