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
• 1985A Theory of the Term Structure of Interest Rates8,333 cited
• 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
• 2000Post-'87 crash fears in the S&P 500 futures option market1,417 cited
• 2009The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well540 cited
• 1976The pricing of equity-linked life insurance policies with an asset value guarantee509 cited
• 2005Affine processes for dynamic mortality and actuarial valuations354 cited
• 2001Mortality derivatives and the option to annuitise314 cited
• 2005Financial valuation of guaranteed minimum withdrawal benefits252 cited
• 2007Option pricing when correlations are stochastic: an analytical framework206 cited
• 2001The Titanic Option: Valuation of the Guaranteed Minimum Death Benefit in Variable Annuities and Mutual Funds193 cited
• 2010A Fourier Transform Method for Spread Option Pricing182 cited
• 2011Variable annuities: A unifying valuation approach176 cited
• 2016Density Approximations for Multivariate Affine Jump-Diffusion Processes