On a Heath–Jarrow–Morton approach for stock options

Markov Processes: Characterization and Convergence.

Andris Abakuks, S. N. Ethier, Thomas G. Kurtz · Biometrics · 1987 · 4.5K citations

Engineering, Mathematics, Probability Theory +16

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

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

Business, Economics, Finance +17

Option valuation using the fast Fourier transform

Peter Carr, Dilip B. Madan · The Journal of Computational Finance · 1999 · 2.3K citations

Business, Economics, Finance +17

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