References

• 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
• 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
• 1999Option valuation using the fast Fourier transform2,155 cited
• 1997Intraday periodicity and volatility persistence in financial markets1,301 cited
• 2002Range‐Based Estimation of Stochastic Volatility Models1,215 cited
• 1995Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure400 cited
• 2003Multiscale Stochastic Volatility Asymptotics220 cited
• 1996Mean reversion in real exchange rates: evidence and implications for forecasting185 cited
• 2004Option pricing using the fractional FFT144 cited
• 2008Option pricing with mean reversion and stochastic volatility87 cited
• 2003Option valuation with co-integrated asset prices82 cited
• 2006Stochastic Volatility Effects on Defaultable Bonds79 cited
• 2002Estimation and empirical performance of Heston's stochastic volatility model: the case of a thinly traded market56 cited
• 2006Mean Reversion in G-10 Nominal Exchange Rates38 cited
• 2008Modeling correlated defaults: first passage model under stochastic volatility