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Cited by

• 2006Maximum likelihood estimation of stochastic volatility models538 cited
• 2003The dynamics of stochastic volatility: evidence from underlying and options markets504 cited
• 2006Moment explosions in stochastic volatility models403 cited
• 2006A Benchmark Approach to Quantitative Finance374 cited
• 2011Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives329 cited
• 2004Option pricing by transform methods: extensions, unification and error control328 cited
• 2010Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options321 cited
• 2001A Simple Option Formula for General Jump-Diffusion and Other Exponential Levy Processes316 cited
• 2010Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices312 cited
• 2011On the Heston Model with Stochastic Interest Rates248 cited
• 2007On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility239 cited
• 2005Local martingales, bubbles and option prices234 cited
• 2014Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients227 cited
• 2003Multiscale Stochastic Volatility Asymptotics