References

• 1973The Pricing of Options and Corporate Liabilities29,064 cited
• 1990Options, Futures, and Other Derivative Securities.1,227 cited
• 1987Efficient Analytic Approximation of American Option Values1,128 cited
• 1984The American Put Option Valued Analytically728 cited
• 2008Mathematical Models of Financial Derivatives567 cited
• 1977An analytic valuation formula for unprotected American call options on stocks with known dividends378 cited
• 1998Option pricing with transaction costs and a nonlinear Black-Scholes equation357 cited
• 1992The Pricing of the American Option348 cited
• 1997Market Volatility and Feedback Effects from Dynamic Hedging197 cited
• 2000The Feedback Effect of Hedging in Illiquid Markets153 cited
• 1994Dynamic hedging portfolios for derivative securities in the presence of large transaction costs118 cited
• 1998Optimal exercise boundary for an American put option117 cited
• 1984On Valuing American Call Options with the Black-Scholes European Formula112 cited
• 2002Risk Management for Derivatives in Illiquid Markets: A Simulation Study93 cited
• 2005On the risk‐adjusted pricing‐methodology‐based valuationof vanilla options and explanation of the volatility smile