Pricing Asian options in a stochastic volatility model with jumps

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

The Pricing of Options on Assets with Stochastic Volatilities

John Hull, Alan White · The Journal of Finance · 1987 · 3.9K citations · Full text

Business, Economics, Finance +12

On the Construction and Comparison of Difference Schemes

Gilbert Strang · SIAM Journal on Numerical Analysis · 1968 · 3.5K citations

Natural Sciences, Mathematics, Computational Mechanics +16

Theory of Financial Decision Making.

Eduardo S. Schwartz, Jonathan E. Ingersoll · The Journal of Finance · 1988 · 1.9K citations

Business, Economics, Finance +17

Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics

Ole E. Barndorff–Nielsen, Neil Shephard · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 2001 · 1.9K citations

Business, Economics, Finance +16