Consistent pricing of VIX and equity derivatives with the 4/2 stochastic volatility plus jumps model

An algorithm for the machine calculation of complex Fourier series

J.W. Cooley, John W. Tukey · Mathematics of Computation · 1965 · 12.2K citations

Computing, Computer Science, Mathematics +12

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

A Theory of the Term Structure of Interest Rates

John C. Cox, Jonathan E. Ingersoll, Stephen A. Ross · Econometrica · 1985 · 8.6K citations

Business, Economics, Finance +17

Applications of lie groups to differential equations

Acta Applicandae Mathematicae · 1990 · 6.1K citations

Natural Sciences, Mathematics, Physics +14

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