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Post-'87 Crash Fears in S&P 500 Futures Options
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  • 1999Option-Implied Risk-Neutral Distributions and Implied Binomial Trees246 cited
  • 2000Pricing and hedging long-term options243 cited
  • 1999Chapter 20 Human behavior and the efficiency of the financial system212 cited
  • 2009Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices193 cited
  • 2000Do Call Prices and the Underlying Stock Always Move in the Same Direction?191 cited
  • 2005Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility189 cited
  • 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications183 cited
  • 1998Implied Risk-Neutral Probability Density Functions from Option Prices: Theory and Application180 cited
  • 2006SELF‐DECOMPOSABILITY AND OPTION PRICING179 cited
  • 2005A Practical Guide to Forecasting Financial Market Volatility171 cited
  • 2008AN EQUILIBRIUM GUIDE TO DESIGNING AFFINE PRICING MODELS167 cited
  • 2004Option Pricing: Valuation Models and Applications164 cited
  • 2005Credit risk modeling with affine processes159 cited
  • 2008Systematic Risk and the Price Structure of Individual Equity Options153 cited

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2006
A Bayesian Analysis of Return Dynamics with Lévy Jumps
148 cited
  • 2011Lévy Jump Risk: Evidence from Options and Returns143 cited