Optimal stopping, free boundary, and American option in a jump-diffusion model

The Pricing of Options and Corporate Liabilities

Fischer Black, Myron S. Scholes · Journal of Political Economy · 1973 · 29.4K citations

Business, Economics, Finance +13

Option pricing when underlying stock returns are discontinuous

Robert C. Merton · Journal of Financial Economics · 1976 · 6.1K citations · Full text

Business, Finance, Asset Pricing +16

Martingales and arbitrage in multiperiod securities markets

J. Michael Harrison, David M. Kreps · Journal of Economic Theory · 1979 · 3.7K citations

Business, Economics, Finance +12

Martingales and stochastic integrals in the theory of continuous trading

J. Michael Harrison, Stanley R. Pliska · Stochastic Processes and their Applications · 1981 · 2.9K citations

Engineering, Finance, Mathematics +14

On Jump Processes in the Foreign Exchange and Stock Markets

Philippe Jorion · Review of Financial Studies · 1988 · 642 citations

Business, Economics, Finance +17