Computation in an Asymptotic Expansion Method

Option pricing when underlying stock returns are discontinuous

Robert C. Merton · Journal of Financial Economics · 1976 · 6K citations · Full text

Option Pricing, Asset Pricing, Derivative Pricing +3

Stochastic Differential Equations and Diffusion Processes

Gopinath Kallianpur, Nobuyuki Ikeda, Shinzo Watanabe · Technometrics · 1983 · 3.9K citations

Engineering, Diffusion Processes, Stochastic Processes +10

Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation

David Heath, Robert A. Jarrow, A. J. Morton · Econometrica · 1992 · 3.2K citations

ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS

Peter Carr, Robert A. Jarrow, Ravi Myneni · Mathematical Finance · 1992 · 492 citations

Option Pricing, Asset Pricing, Derivative Pricing +8

A generalized clark representation formula, with application to optimal portfolios

Daniel Ocone, Ioannis Karatzas · Stochastics and stochastics reports · 1991 · 277 citations

Mathematical Programming, Portfolio Optimization, Engineering +15