An approximation formula for basket option prices under local stochastic volatility with jumps: An application to commodity markets

Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices

Bjørn Eraker · The Journal of Finance · 2004 · 1.2K citations · Full text

Business, Economics, Finance +17

The value of an Asian option

L. C. G. Rogers, Zhan Shi · Journal of Applied Probability · 1995 · 536 citations

Business, Finance, Mathematics +14

An Asymptotic Expansion Approach to Pricing Financial Contingent Claims

Akihiko Takahashi · Asia-Pacific Financial Markets · 1999 · 143 citations

Business, Economics, Finance +11

The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims

Naoto Kunitomo, Akihiko Takahashi · Mathematical Finance · 2001 · 139 citations

Business, Finance, Asset Pricing +16

ASYMPTOTIC EXPANSION FOR STATISTICS RELATED TO SMALL DIFFUSIONS

Nakahiro Yoshida · Nihon Tōkei Gakkaishi/Nihon Tokei Gakkaishi · 1992 · 100 citations · Full text

Natural Sciences, Mathematics, Probability Theory +9