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
• 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
• 2005Option pricing and Esscher transform under regime switching419 cited
• 2003The importance of the loss function in option valuation393 cited
• 2010MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE168 cited
• 2005Option pricing with an illiquid underlying asset market134 cited
• 2006Estimation of continuous-time models with an application to equity volatility dynamics132 cited
• 2012Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case102 cited
• 2013Option pricing with stochastic liquidity risk: Theory and evidence74 cited
• 2016Discrete-time option pricing with stochastic liquidity51 cited
• 2014Separating the Components of Default Risk: A Derivative-Based Approach47 cited
• 2018Option pricing with linear market impact and nonlinear Black–Scholes equations42 cited
• 2009Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility38 cited