On the public citation graph

Local Volatility and Milstein Discretization in Practice

0 signed · 13 inferred · view as graph

Inferred edges come from two machine sources: sweeps of open repository metadata (mostly SSRN and Zenodo), and a bulk OpenAlex citation snapshot. Every row below is labelled with the one it came from. Neither is a complete citation index — absence here is not evidence of absence.

Is this your work? Sign in with ORCID and put your name on the claims that are yours.

Claim with ORCID

Reference health. See whether every reference in this work resolves to a known work and none has been retracted — and get a dated CiteStamped badge you can embed.

See reference health

What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/9781119208679openalex-extracted

Foreign Exchange Option Pricing: A Practitioner's Guide

inferredcites →https://doi.org/10.1007/978-0-387-21617-1openalex-extracted

Monte Carlo Methods in Financial Engineering

inferredcites →https://doi.org/10.1016/s1570-8659(08)00012-4openalex-extracted

Advanced Monte Carlo Methods for Barrier and Related Exotic Options

inferredcites →https://doi.org/10.1080/135048600450275openalex-extracted

Volatility skews and extensions of the Libor market model

inferredcites →https://doi.org/10.1090/s0025-5718-1989-0962209-1openalex-extracted

Nonnegativity-, Monotonicity-, or Convexity-Preserving Cubic and Quintic Hermite Interpolation

inferredcites →https://doi.org/10.1109/cifer.2009.4937505openalex-extracted

Accumulator pricing

inferredcites →https://doi.org/10.1111/1467-9965.00035openalex-extracted

A Continuity Correction for Discrete Barrier Options

inferredcites →https://doi.org/10.1111/j.1540-6261.1983.tb03636.xopenalex-extracted

Displaced Diffusion Option Pricing

inferredcites →https://doi.org/10.1137/070709359openalex-extracted

Constructing Sobol Sequences with Better Two-Dimensional Projections

inferredcites →https://doi.org/10.21314/jcf.1997.009openalex-extracted

The equity option volatility smile: an implicit finite-difference approach

inferredcites →https://doi.org/10.2139/ssrn.111030openalex-extracted

inferredcites →https://doi.org/10.2139/ssrn.1648878openalex-extracted

TR-BDF2 for Stable American Option Pricing

inferredcites →https://doi.org/10.2307/2008477openalex-extracted

Editorial review for independent work. ICSAC — the Institute for Complexity Science and Advanced Computing — runs a structured editorial panel for researchers publishing outside journals, and publishes on CiteStamp rails. Submission is free and goes through ORCID: icsacinstitute.org/submit.