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Cited by

• 1999Transition Densities for Interest Rate and Other Nonlinear Diffusions347 cited
• 2006A jump to default extended CEV model: an application of Bessel processes227 cited
• 2001Do option markets correctly price the probabilities of movement of the underlying asset?217 cited
• 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications183 cited
• 2004Option Pricing: Valuation Models and Applications164 cited
• 2003Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach158 cited
• 2004Variance Risk Premia138 cited
• 2006The constant elasticity of variance (CEV) model and the Legendre transform–dual solution for annuity contracts127 cited
• 2000Martingales versus PDEs in finance: an equivalence result with examples125 cited
• 2011A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients124 cited
• 1999Pricing Lookback and Barrier Options under the CEV Process124 cited
• 2002A Note on Option Pricing for the Constant Elasticity of Variance Model123 cited
• 2009Optimal portfolios for DC pension plans under a CEV model119 cited
• 2012Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model