Time-consistent mean–variance portfolio optimization: A numerical impulse control approach

Option pricing when underlying stock returns are discontinuous

Robert C. Merton · Journal of Financial Economics · 1976 · 6.1K citations · Full text

Business, Finance, Asset Pricing +16

User’s guide to viscosity solutions of second order partial differential equations

Michael G. Crandall, Hitoshi Ishii, Pierre-Louis Lions · Bulletin of the American Mathematical Society · 1992 · 5K citations · Full text

Natural Sciences, Mathematics, Computational Fluid Dynamics +16

A Jump-Diffusion Model for Option Pricing

Steven Kou · Management Science · 2002 · 1.9K citations

Business, Finance, Financial Economics +16

Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework

Xun Yu Zhou, Duan Li · Applied Mathematics & Optimization · 2000 · 1.1K citations

Business, Finance, Financial Management +14

Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation

Duan Li, Wan‐Lung Ng · Mathematical Finance · 2000 · 1K citations

Business, Finance, Financial Management +17