References

• 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
• 1976The valuation of options for alternative stochastic processes2,935 cited
• 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
• 1978Stochastic Approximation Methods for Constrained and Unconstrained Systems1,459 cited
• 1977Options: A Monte Carlo approach1,341 cited
• 1990Options, Futures, and Other Derivative Securities.1,227 cited
• 1987Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application978 cited
• 1991Gradient Estimation via Perturbation Analysis707 cited
• 1996Estimating Security Price Derivatives Using Simulation449 cited
• 1994Optimization via simulation: A review418 cited
• 1995Discrete Event Systems: Sensitivity Analysis and Stochastic Optimization by the Score Function Method383 cited
• 1987Option Pricing when the Variance is Changing377 cited
• 1994Discrete Event Systems: Sensitivity Analysis and Stochastic Optimization by the Score Function Method270 cited
• 1987Smoothed (conditional) perturbation analysis of discrete event dynamical systems222 cited
• 1989Options Arbitrage in Imperfect Markets