Stochastic Volatility Publications

Publications in Stochastic Volatility

Explore the most influential research papers and scholarly works that have shaped Stochastic Volatility. Use the concept filter below to focus on a specific sub-area of research.

Stochastic Volatility

1.6K

Publications

177.1K

Citations

Showing yearly statistics from 2000-2026.

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	Year	Citations
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options Steven L. Heston Review of Financial Studies Currency OptionsOption PricingMultivariate Stochastic VolatilityFinancial EconomicsAsset Pricing	1993	9K
NOTES ON CONTINUOUS STOCHASTIC PHENOMENA P. A. P. Moran Biometrika Large DeviationsEngineeringOxford University SearchStochastic AnalysisStochastic Phenomenon	1950	6.9K
Probability and Measure. PE, P. Billingsley Journal of the American Statistical Association Measure TheoryRandom VariablesEngineeringDiscrete ProbabilityMeasurement	1996	6.7K
The Pricing of Options on Assets with Stochastic Volatilities John Hull, Alan White The Journal of Finance Option PricingMultivariate Stochastic VolatilityVolatility ModelingAsset PricingFinancial Economics	1987	3.9K
A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices Peter K. Clark Econometrica Volatility ModelingEngineeringStochastic PhenomenonFinancial MathematicsComputational Finance	1973	2.8K
Empirical Performance of Alternative Option Pricing Models Gurdip Bakshi, Charles Cao, Zhiwu Chen The Journal of Finance Option PricingMultivariate Stochastic VolatilityFinancial EconomicsAsset PricingVolatility Modeling	1997	2.7K
Stochastic Differential Equations: Theory and Applications. P. Whittle, Ludwig Arnold Journal of the Royal Statistical Society Series A (General) EngineeringStochastic ProcessesStochastic CalculusStochastic Dynamical SystemStochastic Integration	1976	2.4K
Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options David S. Bates Review of Financial Studies Volatility ModelingEngineeringForeign Exchange OptionFinancial MathematicsAsset Pricing	1996	2.3K
Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models Ole E. Barndorff–Nielsen, Neil Shephard Journal of the Royal Statistical Society Series B (Statistical Methodology) Volatility ModelingEngineeringActual VolatilityTime Series EconometricsFinancial Mathematics	2002	2.3K
Convergence of Stochastic Processes. Peter M. Robinson, David Pollard Economica EngineeringStochastic AnalysisStochastic PhenomenonFunctional AnalysisStochastic Differential Equations	1985	2.2K
Power and Bipower Variation with Stochastic Volatility and Jumps Ole E. Barndorff–Nielsen Journal of Financial Econometrics Volatility ModelingMultivariate Stochastic VolatilityEngineeringAsset PricingUncertainty Quantification	2004	2.1K
The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging Eduardo S. Schwartz The Journal of Finance EconomicsFinancial EconomicsAsset PricingEngineeringStochastic Behavior	1997	2.1K

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