References

• 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
• 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
• 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
• 1999Option valuation using the fast Fourier transform2,155 cited
• 2000Post-'87 crash fears in the S&P 500 futures option market1,417 cited
• 2009The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well540 cited
• 2006Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes493 cited
• 2007Stochastic skew in currency options☆341 cited
• 2009Term-Structure Models300 cited
• 2008A multifactor volatility Heston model207 cited
• 2011Affine processes on positive semidefinite matrices149 cited
• 2011Riding on the smiles120 cited
• 2010Derivative Pricing With Wishart Multivariate Stochastic Volatility105 cited
• 2010Efficient, almost exact simulation of the Heston stochastic volatility model70 cited
• 2013Exact and high-order discretization schemes for Wishart processes and their affine extensions