References

• 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
• 2016“Options, Futures, and Other Derivatives”5,007 cited
• 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
• 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
• 1999Option valuation using the fast Fourier transform2,155 cited
• 2002The jump-risk premia implicit in options: evidence from an integrated time-series study1,657 cited
• 2003The Impact of Jumps in Volatility and Returns1,469 cited
• 2000Post-'87 crash fears in the S&P 500 futures option market1,417 cited
• 1990Numerical Methods for Stochastic Control Problems in Continuous Time1,400 cited
• 19965 Stochastic volatility1,189 cited
• 2003Alternative models for stock price dynamics893 cited
• 1990Pricing foreign currency options with stochastic volatility749 cited
• 2000Spanning and derivative-security valuation746 cited
• 1982Approximate option valuation for arbitrary stochastic processes608 cited