Nonlinear Analysis · 2011 · 28 citations · 26 references
BusinessEconomicsFinanceFinancial EconomicsQuantitative FinanceStochastic ProcessesConvex AnalysisConvex OptimizationOption PricingOption Pricing ModelsStochastic VolatilityVolatility ModelingConvergence Rate AnalysisConvex Variational ProblemsImplied Volatility EstimationLocal Convergence AnalysisOption Pricing Under Stochastic VolatilityRegularizationStochastic Volatility ModelsTime-varying Volatility Models
26
The Pricing of Options and Corporate Liabilities
Fischer Black, Myron S. Scholes · Journal of Political Economy · 1973 · 29.4K citations
Philippe Artzner, Freddy Delbaen, Jean‐Marc Eber et al. · Mathematical Finance · 1999 · 9K citations · Full text
Business, Finance, Risk Management +14
Clustering with Bregman Divergences
Arindam Banerjee, Srujana Merugu, Inderjit S. Dhillon et al. · 2004 · 1.5K citations
Convex measures of risk and trading constraints
Hans Föllmer, Alexander Schied · Finance and Stochastics · 2002 · 1.5K citations