Review of Derivatives Research · 2007 · 162 citations · 20 references
BusinessEconomicsFinanceFinancial EconomicsQuantitative FinanceStochastic ProcessesImplied VolatilityOption PricingOption Pricing ModelsStochastic Differential EquationsStochastic VolatilityVolatility ModelingBlack-scholes ModelJump-diffusion Volatility ModelsOption Pricing TheoryOption Pricing Under Stochastic VolatilityStochastic Volatility ModelsStochastic Volatility PricingStochastic Volatility With Jumps
20
Handbook of Mathematical Functions
Donald A. McQuarrie · American Journal of Physics · 1966 · 40.9K citations
The Pricing of Options and Corporate Liabilities
Fischer Black, Myron S. Scholes · Journal of Political Economy · 1973 · 29.4K citations
A Theory of the Term Structure of Interest Rates
John C. Cox, Jonathan E. Ingersoll, Stephen A. Ross · Econometrica · 1985 · 8.6K citations
Option valuation using the fast Fourier transform
Peter Carr, Dilip B. Madan · The Journal of Computational Finance · 1999 · 2.3K citations