References

• 1976Option pricing when underlying stock returns are discontinuous5,965 cited
• 2003Financial Modelling with Jump Processes3,217 cited
• 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
• 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
• 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
• 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
• 2002A Jump-Diffusion Model for Option Pricing1,895 cited
• 1998The Variance Gamma Process and Option Pricing1,786 cited
• 2009Expected Stock Returns and Variance Risk Premia1,776 cited
• 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
• 2002The jump-risk premia implicit in options: evidence from an integrated time-series study1,657 cited
• 2000Post-'87 crash fears in the S&P 500 futures option market1,417 cited
• 2004Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices1,116 cited
• 2013Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?914 cited
• 1991The Crash of ʼ87: Was It Expected? The Evidence from Options Markets