Crossref Citations
This article has been cited by the following publications. This list is generated based on data provided by
Crossref.
Kou, S. G.
and
Wang, Hui
2004.
Option Pricing Under a Double Exponential Jump Diffusion Model.
Management Science,
Vol. 50,
Issue. 9,
p.
1178.
2004.
Birth and Death (BDP) Process Models with Applications.
American Journal of Mathematical and Management Sciences,
Vol. 24,
Issue. 1-2,
p.
1.
Heyde, C.C.
and
Kou, S.G.
2004.
On the controversy over tailweight of distributions.
Operations Research Letters,
Vol. 32,
Issue. 5,
p.
399.
Kou, S. C.
and
Kou, S. G.
2004.
A Diffusion Model for Growth Stocks.
Mathematics of Operations Research,
Vol. 29,
Issue. 2,
p.
191.
Atiya, Amir F.
and
Metwally, Steve A. K.
2005.
Efficient Estimation of First Passage Time Density Function for Jump-Diffusion Processes.
SIAM Journal on Scientific Computing,
Vol. 26,
Issue. 5,
p.
1760.
Dubovski, Pavel B.
Goldman, Irina
and
Harmantzis, Fotios
2005.
A Markov Model for Stocks with Small and Medium Market Capitalization.
SSRN Electronic Journal,
Cho, Hyun
Fadali, Sami
and
Lee, Kwon
2006.
Modeling of Nonstationary Stochastic Process for Load Traffic Estimation.
p.
3787.
Cho, Hyun-Cheol
Fadali, M.Sami
and
Lee, Kwon-Soon
2007.
Design of Time-varying Stochastic Process with Dynamic Bayesian Networks.
Journal of Electrical Engineering and Technology,
Vol. 2,
Issue. 4,
p.
543.
Feng, Liming
and
Linetsky, Vadim
2008.
Pricing Options in Jump-Diffusion Models: An Extrapolation Approach.
Operations Research,
Vol. 56,
Issue. 2,
p.
304.
Kindermann, S.
Mayer, P.
Albrecher, H.
and
Engl, H.
2008.
Identification of the Local Speed Function in a Levy Model for Option Pricing.
Journal of Integral Equations and Applications,
Vol. 20,
Issue. 2,
Wong, Hoi Ying
and
Lau, Ka Yung
2008.
Analytical Valuation of Turbo Warrants under Double Exponential Jump Diffusion.
The Journal of Derivatives,
Vol. 15,
Issue. 4,
p.
61.
Ding, Xiaowei
Giesecke, Kay
and
Tomecek, Pascal I.
2009.
Time-Changed Birth Processes and Multiname Credit Derivatives.
Operations Research,
Vol. 57,
Issue. 4,
p.
990.
Guo, Xin
Jarrow, Robert A.
and
Zeng, Yan
2009.
Credit Risk Models with Incomplete Information.
Mathematics of Operations Research,
Vol. 34,
Issue. 2,
p.
320.
Tsviliuk, Olena
Melnik, Roderick
and
Zhang, Di
2010.
Applications of Evolutionary Computation.
Vol. 6025,
Issue. ,
p.
232.
Chen, Yu-Ting
Lee, Cheng-Few
and
Sheu, Yuan-Chung
2010.
Handbook of Quantitative Finance and Risk Management.
p.
1445.
Carr, Peter
and
Crosby, John
2010.
A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options.
Quantitative Finance,
Vol. 10,
Issue. 10,
p.
1115.
Jeannin, Marc
and
Pistorius, Martijn
2010.
A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes.
Quantitative Finance,
Vol. 10,
Issue. 6,
p.
629.
Huang, Jing-zhi
2010.
Handbook of Quantitative Finance and Risk Management.
p.
665.
Coutin, Laure
and
Dorobantu, Diana
2011.
First passage time law for some Lévy processes with compound Poisson: Existence of a density.
Bernoulli,
Vol. 17,
Issue. 4,
Görür, Dilan
and
Teh, Yee Whye
2011.
Concave-Convex Adaptive Rejection Sampling.
Journal of Computational and Graphical Statistics,
Vol. 20,
Issue. 3,
p.
670.