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
• 1976Option pricing when underlying stock returns are discontinuous5,965 cited
• 1976The valuation of options for alternative stochastic processes2,935 cited
• 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
• 1998Implied Volatility Functions: Empirical Tests1,248 cited
• 2006The Volatility Surface: A Practitioner's Guide747 cited
• 2003The dynamics of stochastic volatility: evidence from underlying and options markets504 cited
• 2002Dynamics of implied volatility surfaces433 cited
• 2003The importance of the loss function in option valuation398 cited
• 1997Calibrating volatility surfaces via relative-entropy minimization249 cited
• 1997The equity option volatility smile: an implicit finite-difference approach199 cited
• 1997A technique for calibrating derivative security pricing models: numerical solution of an inverse problem134 cited
• 1999Reconstructing the unknown local volatility function133 cited
• 2002A Methodology for Assessing Model Risk and Its Application to the Implied Volatility Function Model