Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps

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

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

Partial differential equations of parabolic type

John S. Maybee · Journal of the Franklin Institute · 1965 · 3.3K citations

Natural Sciences, Mathematics, Differential Equations +11

Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options

David S. Bates · Review of Financial Studies · 1996 · 2.4K citations

Business, Economics, Finance +17