References

• 1973The Pricing of Options and Corporate Liabilities29,064 cited
• 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
• 1976Option pricing when underlying stock returns are discontinuous5,965 cited
• 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
• 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
• 2010Merton, Robert C.812 cited
• 1998Penalty methods for American options with stochastic volatility290 cited
• 1999Multigrid for American option pricing with stochastic volatility208 cited
• 2004An Introduction to Financial Option Valuation184 cited
• 2007Pricing Options in Jump-Diffusion Models: An Extrapolation Approach168 cited
• 2009Operator splitting methods for pricing American options under stochastic volatility132 cited
• 2008Option pricing with mean reversion and stochastic volatility87 cited
• 2007Numerical pricing of options using high-order compact finite difference schemes86 cited
• 2007Numerical solution of two asset jump diffusion models for option valuation71 cited
• 2007Pricing Multi-Asset American Options: A Finite Element Method-of-Lines with Smooth Penalty