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References

1979Option pricing: A simplified approach6,103 cited
1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
1978THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER1,740 cited
1977Options: A Monte Carlo approach1,341 cited
1987Efficient Analytic Approximation of American Option Values1,128 cited
1990A pricing method for options based on average asset values628 cited
1979Path Dependent Options: "Buy at the Low, Sell at the High"350 cited

1999Jump Processes in Commodity Futures Prices and Options Pricing87 cited
1995Lattice Models for Pricing American Interest Rate Claims81 cited
2000Analytical Valuation of American-Style Asian Options81 cited
2002Convergence of numerical methods for valuing path-dependent options using interpolation77 cited
2002On the equivalence of floating- and fixed-strike Asian options61 cited
2006Extending quadrature methods to value multi-asset and complex path dependent options51 cited
2001Pricing Algorithms for Options with Exotic Path-Dependence43 cited
2002A Dynamic Programming Procedure for Pricing American-Style Asian Options

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42 cited