Exponentially affine martingales, affine measure changes and exponential moments of affine processes

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

Limit Theorems for Stochastic Processes.

Ditlev Monrad, Jean Jacod, Albert N. Shiryaev · Journal of the American Statistical Association · 1988 · 4.2K citations

Engineering, Mathematics, Financial Economics +16

Transform Analysis and Asset Pricing for Affine Jump-diffusions

Darrell Duffie, Jun Pan, Kenneth J. Singleton · Econometrica · 2000 · 3K citations

Business, Economics, Finance +17

Probability Measures on Metric Spaces.

K. R. Parthasarathy · Journal of the American Statistical Association · 1968 · 2.5K citations

Natural Sciences, Mathematics, Probability Theory +12

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