Constant elasticity of variance model for proportional reinsurance and investment strategies

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 dynamics of stochastic volatility: evidence from underlying and options markets

Christopher S. Jones · Journal of Econometrics · 2003 · 538 citations

Business, Economics, Finance +14

The Constant Elasticity of Variance Option Pricing Model

John C. Cox · The Journal of Portfolio Management · 1996 · 393 citations

Business, Business Economics, Finance +14

Pricing and Hedging Path-Dependent Options Under the CEV Process

Dmitry Davydov, Vadim Linetsky · Management Science · 2001 · 354 citations

Business, Economics, Finance +17

Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift

S. David Promislow, Virginia R. Young · North American Actuarial Journal · 2005 · 315 citations

Business, Insurance, Risk Management +13