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Expensive martingales

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
2003Monte Carlo Methods in Financial Engineering3,818 cited
1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
1999Infinite Dimensional Analysis1,120 cited
1998The fundamental theorem of asset pricing for unbounded stochastic processes710 cited
2006Moment explosions in stochastic volatility models403 cited
2002Stochastic Finance251 cited
2007Equity Hybrid Derivatives66 cited
1997Calibrating Volatility Surfaces Via Relative-Entropy Minimization51 cited
2009Dynamics of state price densities33 cited

Cited by

2011Tangent Lévy market models20 cited
2023Interest Rate and Some of Its Applications9 cited

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