Calibration and Backtesting of the Heston Model for Counterparty Credit Risk

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

Numerical Recipes: The Art of Scientific Computing

Eric R. Ziegel, William H. Press, Brian P. Flannery et al. · Technometrics · 1987 · 4.6K citations

Computing, Computer Science, Mathematics +12

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

A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions

F. Fang, Cornelis W. Oosterlee · SIAM Journal on Scientific Computing · 2008 · 752 citations

Business, Economics, Finance +17

Numerical Methods Based on Sinc and Analytic Functions.

Frank Stenger · Mathematics of Computation · 1994 · 678 citations

Natural Sciences, Mathematics, Differential Equations +11