Pricing Power Derivatives: A Two-Factor Jump-Diffusion Approach

A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

Steven L. Heston · Review of Financial Studies · 1993 · 9.1K citations

Business, Economics, Finance +13

Transform Analysis and Asset Pricing for Affine Jump-diffusions

Darrell Duffie, Jun Pan, Kenneth J. Singleton · Econometrica · 2000 · 3K citations

Business, Economics, Finance +17

The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging

Eduardo S. Schwartz · The Journal of Finance · 1997 · 2.1K citations

Agriculture, Economics, Finance +17

The jump-risk premia implicit in options: evidence from an integrated time-series study

Jun Pan · Journal of Financial Economics · 2002 · 1.8K citations

Business, Economics, Finance +14

Short-Term Variations and Long-Term Dynamics in Commodity Prices

Eduardo S. Schwartz, James E. Smith · Management Science · 2000 · 1.1K citations

Business, Business Economics, Economics +17