Applied Numerical Mathematics · 2011 · 69 citations · 23 references
BusinessEconomicsFinanceFinancial EconomicsQuantitative FinanceStochastic ProcessesIterative SolversJump ProcessesOption PricingOption Pricing ModelsValue IterationDiffusion ModelsJump DiffusionsJump-diffusion ModelsJump-diffusion ProcessesOption Pricing AlgorithmsOption Pricing TheoryOption Pricing Valuation
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The Pricing of Options and Corporate Liabilities
Fischer Black, Myron S. Scholes · Journal of Political Economy · 1973 · 29.4K citations
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
A Jump-Diffusion Model for Option Pricing
Steven Kou · Management Science · 2002 · 1.9K citations
The Fine Structure of Asset Returns: An Empirical Investigation
Peter Carr, Hélyette Geman, Dilip B. Madan et al. · The Journal of Business · 2002 · 1.8K citations