The DOI matches its Crossref record; 10 of the 10 references it cites were found in a registry or an index.
LIBOR and swap market models and measures
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Citations
Cites
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
Theory of rational option pricing
Merton, R. C. (2005) · Theory of Valuation · doi:10.1142/9789812701022_0008 · Cited by 7,161
Ingersoll, J. E., & Duffie, D. (1993) · The Journal of Finance · doi:10.2307/2329081 · Cited by 2,891
Martingales and stochastic integrals in the theory of continuous trading
Harrison, J. M., & Pliska, S. R. (1981) · Stochastic Processes and their Applications · doi:10.1016/0304-4149(81)90026-0 · Cited by 2,835
A second course in stochastic processes
Karlin, S., & Taylor, H. E. (1981) · Cited by 2,770
THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER
Margrabe, W. (1978) · The Journal of Finance · doi:10.1111/j.1540-6261.1978.tb03397.x · Cited by 1,737
Changes of numéraire, changes of probability measure and option pricing
Geman, H., El Karoui, N., & Rochet, J.-C. (1995) · Journal of Applied Probability · doi:10.1017/s002190020010289x · Cited by 808
Pricing American-style securities using simulation
Broadie, M. N., & Glasserman, P. (1997) · Journal of Economic Dynamics and Control · doi:10.1016/s0165-1889(97)00029-8 · Cited by 638
Closed Form Solutions for Term Structure Derivatives with Log‐Normal Interest Rates
MILTERSEN, K. R., SANDMANN, K., & SONDERMANN, D. (1997) · The Journal of Finance · doi:10.1111/j.1540-6261.1997.tb03823.x · Cited by 561
HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12
Cvitanić, J., & Karatzas, I. (1996) · Mathematical Finance · doi:10.1111/j.1467-9965.1996.tb00075.x · Cited by 317
Cited by
Arbitrage Theory in Continuous Time
Björk, T. (2004) · doi:10.1093/0199271267.001.0001 · Cited by 940
Metadata
- Authors
- Jamshidian, F.
- Venue
- Finance and Stochastics
- Published
- 1997-09-01
- Volume
- 1
- Issue
- 4
- Pages
- 293-330
- ISSN
- 0949-2984 (ISSN-L)
- 1432-1122
- OpenAlex
- W1998548744
- Cited by
- 746
- References
- 10
- FWCI
- 30.67
- Type
- journal article
- Language
- en
- Open access
- bronze
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- Jamshidian, F. (1997). LIBOR and swap market models and measures. Finance and Stochastics. https://doi.org/10.1007/s007800050026
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
