Generalizing the reflection principle of Brownian motion, and closed-form pricing of barrier options and autocallable investments

Brownian Motion and Stochastic Flow Systems.

J. F. C. Kingmán, J. Michael Harrison · Journal of the Royal Statistical Society Series D (The Statistician) · 1987 · 1.1K citations

Engineering, Industrial Engineering, Queuing Theory +15

Brownian motion and stochastic flow systems

J. Michael Harrison · 1986 · 798 citations

Engineering, Mathematics, Fluid Dynamics +13

The Multivariate Normal Distribution

Alan Julian Izenman, Y. L. Tong · Technometrics · 1991 · 669 citations

Natural Sciences, Mathematics, Statistical Computing +13

Option pricing by Esscher transforms.

Hans U. Gerber, Shiu E.S.W. · IRIS · 1995 · 660 citations

Business, Finance, Mathematics +8

Pricing contingent claims on stocks driven by Lévy processes

Terence Chan · The Annals of Applied Probability · 1999 · 287 citations

Business, Economics, Finance +17