Pricing external barrier options in a regime-switching model

The Fourier-series method for inverting transforms of probability distributions

Joseph Abate, Ward Whitt · Queueing Systems · 1992 · 717 citations

Natural Sciences, Computer Science, Mathematics +14

Breaking down the barriers

Eric S Reiner · 1991 · 410 citations

Engineering, Computational Design, Computer-aided Design +13

Russian and American put options under exponential phase-type Lévy models

Søren Asmussen, Florin Avram, Martijn Pistorius · Stochastic Processes and their Applications · 2003 · 373 citations

Engineering, Economics, Finance +13

Pricing Options With Curved Boundaries¹

Naoto Kunitomo, Masayuki Ikeda · Mathematical Finance · 1992 · 274 citations

Business, Economics, Finance +15

Closed-Form Solutions for Perpetual American Put Options with Regime Switching

Q. Zhang, Xin Guo · SIAM Journal on Applied Mathematics · 2004 · 242 citations

Business, Mathematics, Financial Economics +14